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Recently Published Papers

• Cointegration and Consumption Risks in Asset Return

(with Dittmar and Kiku, Forthcoming, Review of Financial Studies)

• Rational Pessimism, Rational Exuberance, and Asset Pricing Models
  (Joint with Ron Gallant and George Tauchen, Review of Economic Studies 2007)

• Long Run Risks and Financial Markets
  (The Review of the St. Louis Federal Reserve Bank 2007)

Discussion by Tom Sargent

• Long Run Risks and Risk Compensation in Equity Markets
  (Forthcoming, Equity Premium Handbook 2007)

Discussion by John Heaton

• Consumption, Dividends, and the Cross-Section of Equity Returns
  (with Bob Dittmar and Chris Lundblad, Journal of Finance, 2005 )
• Interpretable Asset Markets?
  (with Varoujan  Khatchatrian and Amir Yaron, European Economic Review 2005)
• Introduction: macroeconomic implications of global capital flows
  (with Larry Christiano and Enriqiue Mendoza, December 2004, Journal of Economic Theory)
• Risks For The Long Run: A Potential Resolution of Asset Pricing Puzzles
  (with Amir Yaron, August 2004, Journal of Finance-----Winner of the 2004 Smith-Breeden Paper Award given by the American Finance Association and the Journal of Finance)
• Regime Shifts, Risk Premium in the Term Structure, and the Business Cycle
  (with George Tauchen and Hao Zhou, October 2004, Journal of Business and Economic Statistics)
• Term Structure of Interest Rates with Regime Shifts
  (with Hao Zhou, Oct 2002, Journal of Finance )
• Market Efficiency, Asset Returns, and the Size of the Risk Premium  in Global Equity Markets
  (with Chris Lundblad, Aug 2002, Journal of Econometrics )
• The Forward Premium Puzzle: Different Tales from Developed and Emerging Markets
  (with Magnus Dahlquist, July 2000, Journal of International Economics-----winner of the 1999 CBOT best paper award presented by the Western Finance Association)

Current Working Papers

• Confidence Risk and Asset Prices

(with Ivan Shaliastovich 2008)

• A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets

(with Ivan Shaliastovich 2008)

• Learning and Asset-Price Jumps

(with Ivan Shaliastovich 2008)

• The Asset Pricing-Macro Nexus and Return-Cash Flow Predictability
  (with Amir Yaron 2007)
• Risks for the Long Run: Estimation and Inference

(with Dana Kiku and Amir Yaron 2007 )

• Cointegration and Long-Run Asset Allocation
  (with Dana Kiku 2007)

• A Note on the Economics and Statistics of Predictability: A Long Run Risks Perspective

(with Dana Kiku and Amir Yaron 2007)

• Equity Capital: A Puzzle?
  (with Ed Fang and Amir Yaron 2006 )
• Dynamic Trading Strategies and Portfolio Choice
  (with Magnus Dahlquist  and Campbell Harvey)
• Expropriation Risk and Return in Global Capital Markets
  (with Magnus Dahlquist)
• Interpreting Risk Premia Across, Size, Value and Industry Portfolios
  (with Bob Dittmar and Chris Lundblad)