Curriculum Vitae

PUBLISHED AND FORTHCOMING PAPERS

• “Limits to Arbitrage and Hedging: Evidence from Commodity Markets.” Joint with Viral Acharya and Tarun Ramadorai. Journal of Financial Economics 109(2), 2013, pp. 441-465. (Online Appendix) (Data)
  
  
• “Investor Inattention and the Market Impact of Summary Statistics” Joint with Thomas Gilbert, Shimon Kogan and Ataman Ozyildirim. Management Science 58, 2012, pp. 336-350. Special Issue on Behavioral Economics and Finance.
  
  
• “Long-Run Risk through Consumption Smoothing,” (with Georg Kaltenbrunner). The Review of Financial Studies, 2010, (23), pp 3141 - 3189. (Online Appendix)
  
  •   -An earlier working paper version of this article has some additional results on operating leverage through sticky wages, as well as on return predictability that I still find interesting (LRR Working Paper)
    
  
  

• “Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion,” The Review of Financial Studies, 2009 (22), pp 5251 - 5294.
  
  
• "Estimation of a Stochastic-Volatility Jump-Diffusion Model" with Roger Craine and Knut Syrtveit, Revista de Analisis Economico, 2000, (15), pp 61-87
  
  

WORKING PAPERS

• “Parameter Learning in General Equilibrium: The Asset Pricing Implications” (Revised) February 2013. Joint with Pierre Collin-Dufresne and Michael Johannes.
  
  
• “Learning about Consumption Dynamics” May 2013 [revised]. Joint with Michael Johannes and Yiqun Mou.