Published papers
1. Optimal Decentralized Investment ManagementCo-authors: Jules H. van Binsbergen and Michael W. Brandt.
Journal of Finance, 63(4), August 2008, p.1849-1895
2. Momentum and Mean Reversion in Strategic Asset Allocation
Co-authors: Juan Carlos Rodriguez and Alessandro Sbuelz.
Management Science, 55(7), July 2009, p.1199-1213.
3. Mortgage Timing
Co-authors: Otto Van Hemert and Stijn Van Nieuwerburgh.
Journal of Financial Economics, 93, August 2009, p.292-324.
* Winner of the 2007-08 Glucksman Institute Research Prize.
4. When Can Life-cycle Investors Benefit from Time-varying Bond Risk Premia?
Co-authors: Theo E. Nijman and Bas J.M. Werker.
Review of Financial Studies, 23, February 2010, p.741-780. Appendix containing details on the numerical approach is also available.
5. Predictive Regressions: A Present-Value Approach
Co-author: Jules H. van Binsbergen.
Journal of Finance, 65(4), August 2010, p.1439–1471.
* Winner of the Goldman Sachs Asset Management Award for the best paper in empirical investments at the 2008 WFA conference.
* Finalist for 2010 Smith Breeden Prize for best paper in the Journal of Finance.
6. Long-Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
Co-authors: Hanno Lustig, Stijn Van Nieuwerburgh, and Adrien Verdelhan.
American Economic Review P&P, 100(2), May 2010, p.552–556.
7. Optimal Annuity Risk Management
Co-authors: Theo E. Nijman and Bas J.M. Werker.
Review of Finance, 15(4), October 2011, p.799-833.
8. Predictability of Returns and Cash Flows
Co-author: Stijn Van Nieuwerburgh.
Annual Review of Financial Economics, 3, December 2011, p.467–491.
9. The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
Co-authors: Jules H. van Binsbergen, Jesus Fernandez-Villaverde, and Juan F. Rubio-Ramirez.
Journal of Monetary Economics, 59, 2012, p.634-648.
10. On the Timing and Pricing of Dividends
Co-authors: Jules H. van Binsbergen and Michael W. Brandt.
American Economic Review, 102(4), 2012, p.1596-1618. The Web Appendix contains further results.
* Winner of the 2010 Swiss Finance Institute Outstanding Paper Award
* The data used in our paper can be found here.
11. Equity Yields
Co-authors: Jules H. van Binsbergen, Wouter Hueskes, and Evert B. Vrugt.
Journal of Financial Economics, 110(3), 2013, p.503-519, lead article.
12. The Cross-section of Managerial Ability, Incentives, and Risk Preferences
Journal of Finance, 69(3), 2014, p.1051-1098.
* Winner of the 2008 Roger F. Murray Prize of the Q Group (Second Place).
* 2014 Distinguished Paper Amundi Smith Breeden Prize
13. The Cost of Financial Frictions for Life Insurers
Co-author: Motohiro Yogo.
American Economic Review, 105(1), 2015, p.445-475.
14. Financial Health Economics
Co-authors: Tomas J. Philipson and Harald Uhlig.
Econometrica, 84(1), 2016, p.195-242.
15. Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice
Co-authors: Motohiro Yogo and Stijn Van Nieuwerburgh.
Journal of Finance, 71(2), 2016, p.957–1010.
*2012 Utah Winter Finance Conference Best Paper Prize
*Winner of the 2012 Roger F. Murray Prize of the Q Group (Third Place).
16. On the Timing and Pricing of Dividends: Reply
Co-author: Jules H. van Binsbergen.
American Economic Review, 106(10), 2016, p.3224-3237.
17. Shadow Insurance
Co-author: Motohiro Yogo.
Econometrica, 84(3), 2016, p.1265–1287.
* Winner of the 2014 Swiss Finance Institute Outstanding Paper Award.
18. The Term Structure of Returns: Facts and Theory
Co-author: Jules H. van Binsbergen.
Journal of Financial Economics, 124(1), 2017, p.1-21, lead article.
19. Euro-Area Quantitative Easing and Portfolio Rebalancing
Co-authors: Francois Koulischer, Benoit Nguyen, and Motohiro Yogo.
American Economic Review (P&P), 107(5), 2017.
20. The Cross-Section and Time-Series of Stock and Bond Returns
Co-authors: Hanno Lustig and Stijn Van Nieuwerburgh.
Journal of Monetary Economics, 88, 2017, p.50-69.
21. Carry
Co-authors: Toby J. Moskowitz, Lasse H. Pedersen, and Evert B. Vrugt.
Journal of Financial Economics, 127(2), 2018, p.197-225, lead article.
* 2019 Fama-DFA Prize, Second Place Winner.
Returns on carry strategies can be downloaded here. An update of the international factors and commodities (until July 2021) can be downloaded here.
22. A Demand System Approach to Asset Pricing
Co-author: Motohiro Yogo.
Journal of Political Economy, 127(4), 2019, 1475–1515, lead article.
* Winner of the 2016-2017 Glucksman Institute Research Prize.
* Finalist for the 2017 AQR Insight Award.
The paper's code for estimation, data construction, and counterfactuals as well as data on the instrument for market equity, liquidity measures, and long-horizon expected returns can be found here.
23. Combining Life and Health Insurance
Co-author: Stijn Van Nieuwerburgh.
Quarterly Journal of Economics, 135(2), 2020, 913-958.
* Winner of the 2020 TIAA Paul A. Samuelson Award.
24. Coronavirus: Impact on Stock Prices and Growth Expectations
Co-author: Niels J. Gormsen.
Review of Asset Pricing Studies, 10(4), 2020, 574-597, lead article.
25. Inspecting the Mechanism of Quantitative Easing in the Euro Area
Co-authors: Francois Koulischer, Benoit Nguyen, and Motohiro Yogo.
Journal of Financial Economics, 140(1), 2021, 1-20, lead article.
26. Implied Dividend Volatility and Expected Growth
Co-authors: Niels J. Gormsen and Ian Martin.
American Economic Review (P&P), 111, 2021, 361-365.
27. Review Article: Perspectives on the Future of Asset Pricing
Joint with Markus Brunnermeier, Emmanuel Farhi, Arvind Krishnamurthy, Sydney C. Ludvigson, Hanno Lustig, Stefan Nagel, and Monika Piazzesi.
Review of Financial Studies, 34(4), 2021, 2126-2160.
28. The evolution from life insurance to financial engineering
Co-author: Motohiro Yogo.
The Geneva Risk and Insurance Review, 46, 2021, 89-111.
29. COVID-19 and Its Impact on Financial Markets and the Real Economy
Co-authors: Itay Goldstein and Holger Mueller.
Review of Financial Studies, 34(11), 2021, 5135-5148.
Introduction for a special issue of the Review of Financial Studies focused on research on the COVID-19 crisis.
30. The Fragility of Market Risk Insurance
Co-author: Motohiro Yogo.
Journal of Finance, 77(2), 2022, 815-862, lead article.
31. Global Life Insurers During a Low-Interest Environment
Co-author: Motohiro Yogo.
American Economic Review (P&P), 2022.
32. New Perspectives on Insurance
Co-author: Motohiro Yogo.
Review of Financial Studies, 2022.
Introduction for a special issue of the Review of Financial Studies focused on research on Insurance.
33. Financial Markets and the COVID-19 Pandemic
Co-author: Niels J. Gormsen.
Annual Review of Financial Economics, 2023.
34. Understanding the Ownership Structure of Corporate Bonds
Co-author: Motohiro Yogo.
American Economic Review: Insights, 5(1), 2023, 73-92.
35. Which Investors Matter for Equity Valuations and Expected Returns?
Co-authors: Robert J. Richmond and Motohiro Yogo.
Review of Economic Studies, 91(4), 2024, 2387-2424.
36. Aggregate Lapsation Risk
Co-author: Hae-Kang Lee and Stijn Van Nieuwerburgh.
Journal of Financial Economics, 155, 2024.
37. Granular Instrumental Variables
Co-author: Xavier Gabaix.
Journal of Political Economy, 132(7), 2024, 2274-2303.
Working papers
38. Exchange Rates and Asset Prices in a Global Demand SystemCo-author: Motohiro Yogo.
This version: February 2024.
39. In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis
Co-author: Xavier Gabaix.
This version: August 2024.
* Winner of the 2020 Q-Group Jack Treynor Prize.
* Winner of the 2020 Swiss Finance Institute Outstanding Paper Award.
* Winner of the 2021 AQR Insight Award.
40. Asset Demand of U.S. Households
Co-authors: Xavier Gabaix, Federico Mainardi, Sangmin Oh, and Motohiro Yogo.
This version: September 2024.
41. International Portfolio Frictions
Co-authors: Wenxin Du, Alessandro Fontana, Petr Jakubik, and Hyun Song Shin.
This version: July 2023.
42. Asset Embeddings
Co-authors: Xavier Gabaix, Robert J. Richmond, and Motohiro Yogo.
This version: September 2024.
43. The Commercial Real Estate Ecosystem
Co-authors: Neel Shah and Stijn Van Nieuwerburgh.
Book chapters and other publications
44. Risks of Life Insurers: Recent Trends and Transmission Mechanisms, with Motohiro Yogo. The Economics, Regulation, and Systemic Risk of Insurance Markets, edited by Felix Hufeld, Ralph S.J. Koijen, and Christian Thimann, Oxford: Oxford University Press, 2016, chapter 4.45. Judging the Quality of Survey Data by Comparison with "Truth" as Measured by Administrative Records: Evidence From Sweden, with Stijn Van Nieuwerburgh and Roine Vestman. Improving the Measurement of Consumption Expenditures. Editors: Christopher D. Carroll, Thomas F. Crossley, and John Sabelhaus. 2015.
46. Strategic Asset Allocation, with Jules H. van Binsbergen and Michael W. Brandt. Handbook of Quantitative Asset Management, Oxford University Press.
47. Saving and Investing over the Life Cycle and the Role of Collective Pension Funds, with A. Lans Bovenberg, Theo E. Nijman, and Coen N. Teulings. De Economist 155, 2007, 347-415. Lead article.
48. Market Efficiency and Return Predictability, with Stijn Van Nieuwerburgh. Encyclopedia of Complexity & System Science, Robert Meyers (ed.), 2007.
49. Valuation and Risk Management of Inflation-Sensitive Pension Rights, with Theo E. Nijman. In "Fair Value and Pension Fund Management", N. Kortleve, Th. Nijman and E. Ponds (eds.), Elsevier Publishers 2006.