Research Publications and Outputs: Recent submissions
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The Value Premium and the Fixed Supply of Assets
Published 2021-12-10The paper demonstrates that the mean-variance framework with fixed payoffs can explain a range of well-established empirical facts -- such as the value premium and its dependence on size and the dependence of the cross-section ...Open AccessWorking Paper -
Asymmetries of Stock Returns and Price Delay
Published 2021-12-08Prior studies have demonstrated that stock returns exhibit non-linear dependence -- down-side beta different from upside beta -- and asymmetric correlations -- higher correlations during periods of negative market moves ...Open AccessWorking Paper -
Are Conditional Factors Priced? Characterizing Risk Premia of Conditional Systematic Risk Factors with Staggered Regressions
Published 2021-12-08We introduce the staggered Fama-MacBeth regression method and use it to evaluate economic significance of popular conditional systematic risk factors. Prior literature demonstrated that exposure to these factors is ...Open AccessWorking Paper -
Investment Decisions When Utility Depends on Wealth and Other Attributes
Published 2019The problem of optimal investment under a multivariate utility function allows for an investor to obtain utility not only from wealth, but other (possibly correlated) attributes. In this paper we implement multivariate ...Open AccessArticle -
Facilitating men’s involvement in care work
Published 2021-11-30Research clearly demonstrates the benefits of men’s involvement in unpaid care for prosperous economies, businesses, communities and households. Young men increasingly expect to be able to combine care for family with a ...Open AccessWorking Paper