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.

• Technical appendix
• 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, forthcoming, Econometrica.

A revealed preference theory of the macro announcement premium. Generalized risk sensitivity is necessary 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