Working Papers
 

• "The Macroecononomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium," (with Jack Favilukis and Stijn Van Nieuwerburgh).  Comments Welcome. 

• "A Factor Analysis of Bond Risk Premia" (with Serena Ng).  Prepared for The Handbook of Applied Econometrics. Comments Welcome.  Download large dataset used to create factors HERE. 

• "An Estimation of Economic Models with Recursive Preferences" (with Xiaohong Chen and Jack Favilukis).  Comments Welcome.  


• "Investor Information, Long-Run Risk, and the Duration of Risky Cash-Flows" (with Massimiliano Croce and Martin Lettau).  Comments Welcome.  


• "Macro Factors in Bond Risk Premia" (with Serena Ng). Forthcoming in The Review of Financial Studies.
 
• "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models" (with Xiaohong Chen). Forthcoming in the Journal of Applied Econometrics.
 
• "Measuring and Modeling Variation in the Risk-Return Tradeoff" (with Martin Lettau). Forthcoming in the Handbook of Financial Econometrics, edited by Yacine Ait-Sahalia and Lars P. Hansen. Revised November 2007.
 
• "Forecasting Stock Returns: New Out-of-Sample Evidence" (with Martin Lettau). The results in this paper are now available in "Consumption, Aggregate Wealth and Expected Stock Returns," Journal of Finance, 2001 June, Volume 56, No. 3, pages 815-849.
 
• "A Primer on the Economics and Time Series Econometrics of Wealth Effects: A Comment" (with Martin Lettau and Nathan Barczi).