Research

Research Interests

  • Empirical Asset Pricing
  • Empirical Option Pricing
  • Financial Econometrics
  • Risk Management

Working Papers

Downside Risk and Corporate Bond Returns, (with Patrick Augustin, Linxiao Francis Cong, Roméo Tédongap), pdf version coming soon

Homeowners’ Risk Premia: Evidence from Zip Code Housing Returns, Dec. 2019 (with Esther Eiling, Erasmo Giambona, Patrick Tuijp), 

The Term Structures of Expected Loss and Gain Uncertainty, Nov. 2019 (with Bruno Feunou, Roméo Tédongap, Lai Xu),

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns, Oct. 2019 (with Bruno Feunou, Roméo Tédongap, Lai Xu), Internet Appendix

The Term Structure of Ex-ante Market Risk, new version coming soon