News shocks and production-based term structure of equity returns, with Max Croce, Anthony Diercks, and Kai Li, forthcoming, Review of Financial Studies

A production economy with long-run risks and learning that generates a time-varying slope of the term structure of equity returns

Volatility Risks and Growth Options, with Dana Kiku, Management Science, 2016, vol. 62, No. 3, 741-763.

We propose a volatility-based measure of growth options and we show that growth-option intensive firms on average earn a lower return.

Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital, with Mariano Croce and Kai Li, 2013, Review of Financial Studies, 26 (2), 491-530.

Options are less risky in a neoclassical production economy with long-run risks. We study the dynamics of macroeconomic quantities and asset prices in general equilibrium production economy. We model intangible capital as growth options.

Growth to Value: Option Exercise and the Cross-Section of Equity Returns, with Dana Kiku, Journal of Financial Economics, 2013, Vol. 107, Issue 2, 325-349.

Growth options are exchange options. They are less risky because the cost of option exercise is pro-cyclical. A general equilibrium model with long-run risks and heterogenous firms.