Preference, information and asset pricing
Information and long-run risk: asset pricing implications,
Journal of Finance, 2010, vol. 65, Issue 4, 1333-1367.
Asset pricing in a long-run risk model with learning. I show the effect of learning depends on IES and not risk-aversion. Learning explains many stylized facts in asset market returns. SFS award for best paper in asset pricing, 2017.
Numerical solution: the Markov chain approximation method
An earlier version that contains a decomposition of the
welfare gain of information
Risk preferences and the macro announcement premium,
with Ravi Bansal
A revealed preference theory of the macro announcement premium. Generalized risk sensitivity is
to explain asset market fact. SFS Cavalcade 2017 best paper award in asset pricing.
The technical appendix for the paper
Slides for the paper
A simple proof for the main theorem in the finite dimensional case
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