General equilibrium models of the cross-section of expected returns
News shocks and production-based term structure of equity returns,
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,
, 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
Review of Financial Studies
, 26 (2), 491-530.
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
Journal of Financial Economics
, 2013, Vol. 107, Issue 2, 325-349.
Growth options are exchange options. They are
because the cost of option exercise is pro-cyclical. A general equilibrium model with long-run risks and heterogenous firms.
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