Berthiaume Endowed Professor in Business Administration, PhD Coordinator, Honors Program Director
- Risk Management
- Financial Econometrics
Never a Dull Moment: Entropy Risk in Commodity Markets forthcoming, Review of Asset Pricing Studies, February 2023 (with Hitesh Doshi and Virgilio Zurita)
Multivariate Crash Risk, Journal of Financial Economics, Volume 145, Issue 1, July 2022, Pages 129-153 (with Markus Huggenberger and Florian Weigert)
Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks Management Science, March 2022 (with Chukwuma Dim and Grigory Vilkov).
The Conditional Expected Market Return, Journal of Financial Economics Volume 137, Issue 3, September 2020, Pages 752-786. (with Jonnathan Loudis).
The Term Structure of Co-Entropy in International Financial Markets, Management Science, Volume 65, Issue 8, August 2019, 3449-3947. (with Riccardo Colacito)
Crash Sensitivity and the Cross-Section of Expected Stock Returns, Journal of Financial and Quantitative Analysis, Volume 53, Issue 3, June 2018 , pp. 1059-1100. (with Stefan Ruenzi and Florian Weigert).
A Recovery that we Can Trust? Deducing and Testing The Restrictions of the Recovery Theorem, The Review of Financial Studies, February 2018, Volume 31, Issue 2, 1 February 2018, Pages 532–555 . (with Gurdip Bakshi and Xiaohui Gao).
Aggregation of Preferences for Skewed Asset Returns Journal of Economic Theory, 154 (2014) pp. 453-489 (with Dietmar Leisen and Eric Renault).
Variance bounds on the permanent and transitory components of stochastic discount factors. Journal of Financial Economics, Vol. 105, No 1 July 2012, pp. 191-208. (with Gurdip Bakshi)
Pricing Kernels with Stochastic Skewness and Volatility Risk, Management Science, Vol. 58, No. 3, March 2012, pp. 624-640.
Conditioning Information and Variance Bound on Pricing Kernels with Higher-Order Moments: Theory and Evidence, The Review of Financial Studies, 2008, 21 (1): 181-231.
State Dependence Can Explain Risk-Aversion Puzzle, The Review of Financial Studies, 2008, 21 (2): 973-1011(with Eric Renault and Rene Garcia).