Research graph
References from Discounting timing strategies. Local targets link to admitted publications; unresolved targets remain external evidence.
Role of managerial incentives and discretion in hedge fund performance
10.1111/j.1540-6261.2009.01499.x · 2009 · External reference
Spectral factor models
10.1016/j.jfineco.2021.04.024 · 2021 · External reference
Spectral financial econometrics
10.1017/s0266466622000020 · 2022 · External reference
What drives momentum and reversal? Evidence from day and night signals
10.1093/rfs/hhag036 · 2026 · External reference
Investing for the long run when returns are predictable
10.1111/0022-1082.00205 · 2000 · External reference
Dividend dynamics and the term structure of dividend strips
10.1111/jofi.12242 · 2015 · External reference
How should investors’ long-term returns be measured?
10.1080/0015198x.2024.2401765 · 2025 · External reference
Mutual fund performance at long horizons
10.1016/j.jfineco.2022.10.006 · 2023 · External reference
The (large) effect of return horizon on fund alpha
10.1561/104.00000163 · 2025 · External reference
Predictable corporate distributions and stock returns
10.1093/rfs/hhu145 · 2015 · External reference
Day of the week and the cross-section of returns
10.1016/j.jfineco.2018.06.008 · 2018 · External reference
Infrequent rebalancing, return autocorrelation, and seasonality
10.1111/jofi.12436 · 2016 · External reference
Horizon effects in average returns: The role of slow information diffusion
10.1093/rfs/hhw024 · 2016 · External reference
Market return around the clock: A puzzle
10.1017/s0022109022000783 · 2023 · External reference
Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market
10.1016/j.jfineco.2004.06.017 · 2007 · External reference
The Halloween indicator, “sell in May and go away”: Another puzzle
10.1257/000282802762024683 · 2002 · External reference
Dynamic portfolio selection by augmenting the asset space
10.1111/j.1540-6261.2006.01055.x · 2006 · External reference
10.3386/w28788
10.3386/w28788 · External reference
Unresolved reference
1997 · External reference
Unresolved reference
2002 · External reference
The term structure of the risk–return trade-off
10.2469/faj.v61.n1.2682 · 2005 · External reference
Variance-ratio tests of random walk: an overview
10.1111/j.1467-6419.2008.00570.x · 2009 · External reference
10.2139/ssrn.3685452
10.2139/ssrn.3685452 · External reference
Conditional dynamics and the multihorizon risk-return trade-off
10.1093/rfs/hhab053 · 2022 · External reference
Putting the price in asset pricing
10.1111/jofi.13391 · 2024 · External reference
Stock returns over the FOMC cycle
10.1111/jofi.12818 · 2019 · External reference
A mean-variance benchmark for intertemporal portfolio theory
10.1111/jofi.12099 · 2014 · External reference
Portfolios for long-term investors
10.1093/rof/rfab038 · 2022 · External reference
The value spread
10.1111/1540-6261.00539 · 2003 · External reference
A multifactor perspective on volatility-managed portfolios
10.1111/jofi.13395 · 2024 · External reference
On the asymptotic power of the variance ratio test
10.1017/s0266466603192018 · 2003 · External reference
Asset pricing in the frequency domain: theory and empirics
10.1093/rfs/hhw027 · 2016 · External reference
10.2139/ssrn.4417278
10.2139/ssrn.4417278 · External reference
Gambling preference and the new year effect of assets with lottery features
10.1093/rof/rfr006 · 2012 · External reference
Horizon effects in the pricing kernel: How investors price short-term versus long-term risks
10.1017/s0022109025000122 · 2025 · External reference
Unresolved reference
External reference
Factor momentum and the momentum factor
10.1111/jofi.13131 · 2022 · External reference
Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs
10.1093/rfs/hhz054 · 2019 · External reference
The equity premium
10.1111/1540-6261.00437 · 2002 · External reference
Long-horizon returns
10.1093/rapstu/ray001 · 2018 · External reference
Long-horizon stock returns are positively skewed
10.1093/rof/rfac021 · 2023 · External reference
Shareholder investment horizons and the market for corporate control
10.1016/j.jfineco.2004.10.002 · 2005 · External reference
Daily data is bad for beta: Opacity and frequency-dependent betas
10.1093/rapstu/rau001 · 2014 · External reference
Holding period effects in dividend strip returns
10.1093/rfs/hhae002 · 2024 · External reference
The short duration premium
10.1016/j.jfineco.2021.04.019 · 2021 · External reference
Duration-driven returns
10.1111/jofi.13216 · 2023 · External reference
Factor timing
10.1093/rfs/hhaa017 · 2020 · External reference
Consumption strikes back? Measuring long-run risk
10.1086/588200 · 2008 · External reference
The dividend month premium
10.1016/j.jfineco.2013.02.015 · 2013 · External reference
10.3386/w30688
10.3386/w30688 · External reference
Seasonality in the cross-section of stock returns
10.1016/j.jfineco.2007.02.003 · 2008 · External reference
The Fed and the secular decline in interest rates
10.1093/rfs/hhae089 · 2025 · External reference
Unresolved reference
External reference
Unresolved reference
2011 · External reference
Is there a replication crisis in finance?
10.1111/jofi.13249 · 2023 · External reference
Optimal value and growth tilts in long-horizon portfolios
10.1093/rof/rfq013 · 2011 · External reference
Horizon pricing
10.1017/s0022109016000685 · 2016 · External reference
Unresolved reference
External reference
10.2139/ssrn.4750267
10.2139/ssrn.4750267 · External reference
Principal portfolios
10.1111/jofi.13199 · 2023 · External reference
Market expectations in the cross-section of present values
10.1111/jofi.12060 · 2013 · External reference
Return seasonalities
10.1111/jofi.12398 · 2016 · External reference
Are return seasonalities due to risk or mispricing?
10.1016/j.jfineco.2020.07.009 · 2021 · External reference
A demand system approach to asset pricing
10.1086/701683 · 2019 · External reference
10.2139/ssrn.3443886
10.2139/ssrn.3443886 · External reference
The retail habitat
10.1016/j.jfineco.2025.104144 · 2025 · External reference
Are seasonal anomalies real? A ninety-year perspective
10.1093/rfs/1.4.403 · 1988 · External reference
HAR inference: Recommendations for practice
10.1080/07350015.2018.1506926 · 2018 · External reference
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
10.1093/rfs/hhx052 · 2017 · External reference
Why is long-horizon equity less risky? A duration-based explanation of the value premium
10.1111/j.1540-6261.2007.01201.x · 2007 · External reference
The term structures of equity and interest rates
10.1016/j.jfineco.2011.02.014 · 2011 · External reference
Unresolved reference
External reference
The statistics of Sharpe ratios
10.2469/faj.v58.n4.2453 · 2002 · External reference
A tug of war: Overnight versus intraday expected returns
10.1016/j.jfineco.2019.03.011 · 2019 · External reference
The pre-FOMC announcement drift
10.1111/jofi.12196 · 2015 · External reference
Portfolio choice and equity characteristics: Characterizing the hedging demands induced by return predictability
10.1016/s0304-405x(01)00074-5 · 2001 · External reference
Equity returns at the turn of the month
10.2469/faj.v64.n2.11 · 2008 · External reference
Optimum consumption and portfolio rules in a continuous-time model
10.1016/0022-0531(71)90038-x · 1971 · External reference
Volatility-managed portfolios
10.1111/jofi.12513 · 2017 · External reference
Should long-term investors time volatility?
10.1016/j.jfineco.2018.09.011 · 2019 · External reference
Are stocks really less volatile in the long run?
10.1111/j.1540-6261.2012.01722.x · 2012 · External reference
10.2139/ssrn.4096829
10.2139/ssrn.4096829 · External reference
Drawing inferences from statistics based on multiyear asset returns
10.1016/0304-405x(89)90086-x · 1989 · External reference
Capital market seasonality: The case of stock returns
10.1016/0304-405x(76)90028-3 · 1976 · External reference
How much do investors care about macroeconomic risk? Evidence from scheduled economic announcements
10.1017/s002210901300015x · 2013 · External reference
Earnings announcements and systematic risk
10.1111/jofi.12361 · 2016 · External reference
Dynamic asset (mis) pricing: Build-up versus resolution anomalies
10.1016/j.jfineco.2022.11.005 · 2023 · External reference
On the timing and pricing of dividends
10.1257/aer.102.4.1596 · 2012 · External reference
A horizon-based decomposition of mutual fund value added using transactions
10.1111/jofi.13331 · 2024 · External reference
Cash flow duration and the term structure of equity returns
10.1016/j.jfineco.2018.03.003 · 2018 · External reference
Optimum consumption and portfolio rules in a continuous-time model
10.1016/0022-0531(71)90038-x · ExternalCitation · doi-reference
Capital market seasonality: The case of stock returns
10.1016/0304-405x(76)90028-3 · ExternalCitation · doi-reference
Drawing inferences from statistics based on multiyear asset returns
10.1016/0304-405x(89)90086-x · ExternalCitation · doi-reference
Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market
10.1016/j.jfineco.2004.06.017 · ExternalCitation · doi-reference
Shareholder investment horizons and the market for corporate control
10.1016/j.jfineco.2004.10.002 · ExternalCitation · doi-reference
Seasonality in the cross-section of stock returns
10.1016/j.jfineco.2007.02.003 · ExternalCitation · doi-reference
The term structures of equity and interest rates
10.1016/j.jfineco.2011.02.014 · ExternalCitation · doi-reference
The dividend month premium
10.1016/j.jfineco.2013.02.015 · ExternalCitation · doi-reference
Cash flow duration and the term structure of equity returns
10.1016/j.jfineco.2018.03.003 · ExternalCitation · doi-reference
Day of the week and the cross-section of returns
10.1016/j.jfineco.2018.06.008 · ExternalCitation · doi-reference
Should long-term investors time volatility?
10.1016/j.jfineco.2018.09.011 · ExternalCitation · doi-reference
A tug of war: Overnight versus intraday expected returns
10.1016/j.jfineco.2019.03.011 · ExternalCitation · doi-reference
Are return seasonalities due to risk or mispricing?
10.1016/j.jfineco.2020.07.009 · ExternalCitation · doi-reference
The short duration premium
10.1016/j.jfineco.2021.04.019 · ExternalCitation · doi-reference
Spectral factor models
10.1016/j.jfineco.2021.04.024 · ExternalCitation · doi-reference
Mutual fund performance at long horizons
10.1016/j.jfineco.2022.10.006 · ExternalCitation · doi-reference
Dynamic asset (mis) pricing: Build-up versus resolution anomalies
10.1016/j.jfineco.2022.11.005 · ExternalCitation · doi-reference
The retail habitat
10.1016/j.jfineco.2025.104144 · ExternalCitation · doi-reference
Portfolio choice and equity characteristics: Characterizing the hedging demands induced by return predictability
10.1016/s0304-405x(01)00074-5 · ExternalCitation · doi-reference
How much do investors care about macroeconomic risk? Evidence from scheduled economic announcements
10.1017/s002210901300015x · ExternalCitation · doi-reference
Horizon pricing
10.1017/s0022109016000685 · ExternalCitation · doi-reference
Market return around the clock: A puzzle
10.1017/s0022109022000783 · ExternalCitation · doi-reference
Horizon effects in the pricing kernel: How investors price short-term versus long-term risks
10.1017/s0022109025000122 · ExternalCitation · doi-reference
On the asymptotic power of the variance ratio test
10.1017/s0266466603192018 · ExternalCitation · doi-reference
Spectral financial econometrics
10.1017/s0266466622000020 · ExternalCitation · doi-reference
How should investors’ long-term returns be measured?
10.1080/0015198x.2024.2401765 · ExternalCitation · doi-reference
HAR inference: Recommendations for practice
10.1080/07350015.2018.1506926 · ExternalCitation · doi-reference
Consumption strikes back? Measuring long-run risk
10.1086/588200 · ExternalCitation · doi-reference
A demand system approach to asset pricing
10.1086/701683 · ExternalCitation · doi-reference
Daily data is bad for beta: Opacity and frequency-dependent betas
10.1093/rapstu/rau001 · ExternalCitation · doi-reference
Long-horizon returns
10.1093/rapstu/ray001 · ExternalCitation · doi-reference
Are seasonal anomalies real? A ninety-year perspective
10.1093/rfs/1.4.403 · ExternalCitation · doi-reference
Factor timing
10.1093/rfs/hhaa017 · ExternalCitation · doi-reference
Conditional dynamics and the multihorizon risk-return trade-off
10.1093/rfs/hhab053 · ExternalCitation · doi-reference
Holding period effects in dividend strip returns
10.1093/rfs/hhae002 · ExternalCitation · doi-reference
The Fed and the secular decline in interest rates
10.1093/rfs/hhae089 · ExternalCitation · doi-reference
What drives momentum and reversal? Evidence from day and night signals
10.1093/rfs/hhag036 · ExternalCitation · doi-reference
Predictable corporate distributions and stock returns
10.1093/rfs/hhu145 · ExternalCitation · doi-reference
Horizon effects in average returns: The role of slow information diffusion
10.1093/rfs/hhw024 · ExternalCitation · doi-reference
Asset pricing in the frequency domain: theory and empirics
10.1093/rfs/hhw027 · ExternalCitation · doi-reference
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
10.1093/rfs/hhx052 · ExternalCitation · doi-reference
Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs
10.1093/rfs/hhz054 · ExternalCitation · doi-reference
Portfolios for long-term investors
10.1093/rof/rfab038 · ExternalCitation · doi-reference
Long-horizon stock returns are positively skewed
10.1093/rof/rfac021 · ExternalCitation · doi-reference
Optimal value and growth tilts in long-horizon portfolios
10.1093/rof/rfq013 · ExternalCitation · doi-reference
Gambling preference and the new year effect of assets with lottery features
10.1093/rof/rfr006 · ExternalCitation · doi-reference
Investing for the long run when returns are predictable
10.1111/0022-1082.00205 · ExternalCitation · doi-reference
The equity premium
10.1111/1540-6261.00437 · ExternalCitation · doi-reference
The value spread
10.1111/1540-6261.00539 · ExternalCitation · doi-reference
Variance-ratio tests of random walk: an overview
10.1111/j.1467-6419.2008.00570.x · ExternalCitation · doi-reference
Dynamic portfolio selection by augmenting the asset space
10.1111/j.1540-6261.2006.01055.x · ExternalCitation · doi-reference
Why is long-horizon equity less risky? A duration-based explanation of the value premium
10.1111/j.1540-6261.2007.01201.x · ExternalCitation · doi-reference
Role of managerial incentives and discretion in hedge fund performance
10.1111/j.1540-6261.2009.01499.x · ExternalCitation · doi-reference
Are stocks really less volatile in the long run?
10.1111/j.1540-6261.2012.01722.x · ExternalCitation · doi-reference
Market expectations in the cross-section of present values
10.1111/jofi.12060 · ExternalCitation · doi-reference
A mean-variance benchmark for intertemporal portfolio theory
10.1111/jofi.12099 · ExternalCitation · doi-reference
The pre-FOMC announcement drift
10.1111/jofi.12196 · ExternalCitation · doi-reference
Dividend dynamics and the term structure of dividend strips
10.1111/jofi.12242 · ExternalCitation · doi-reference
Earnings announcements and systematic risk
10.1111/jofi.12361 · ExternalCitation · doi-reference
Return seasonalities
10.1111/jofi.12398 · ExternalCitation · doi-reference
Infrequent rebalancing, return autocorrelation, and seasonality
10.1111/jofi.12436 · ExternalCitation · doi-reference
Volatility-managed portfolios
10.1111/jofi.12513 · ExternalCitation · doi-reference
Stock returns over the FOMC cycle
10.1111/jofi.12818 · ExternalCitation · doi-reference
Factor momentum and the momentum factor
10.1111/jofi.13131 · ExternalCitation · doi-reference
Principal portfolios
10.1111/jofi.13199 · ExternalCitation · doi-reference
Duration-driven returns
10.1111/jofi.13216 · ExternalCitation · doi-reference
Is there a replication crisis in finance?
10.1111/jofi.13249 · ExternalCitation · doi-reference
A horizon-based decomposition of mutual fund value added using transactions
10.1111/jofi.13331 · ExternalCitation · doi-reference
Putting the price in asset pricing
10.1111/jofi.13391 · ExternalCitation · doi-reference
A multifactor perspective on volatility-managed portfolios
10.1111/jofi.13395 · ExternalCitation · doi-reference
The Halloween indicator, “sell in May and go away”: Another puzzle
10.1257/000282802762024683 · ExternalCitation · doi-reference
On the timing and pricing of dividends
10.1257/aer.102.4.1596 · ExternalCitation · doi-reference
The (large) effect of return horizon on fund alpha
10.1561/104.00000163 · ExternalCitation · doi-reference
10.2139/ssrn.3443886
10.2139/ssrn.3443886 · ExternalCitation · doi-reference
10.2139/ssrn.3685452
10.2139/ssrn.3685452 · ExternalCitation · doi-reference
10.2139/ssrn.4096829
10.2139/ssrn.4096829 · ExternalCitation · doi-reference
10.2139/ssrn.4417278
10.2139/ssrn.4417278 · ExternalCitation · doi-reference
10.2139/ssrn.4750267
10.2139/ssrn.4750267 · ExternalCitation · doi-reference
The statistics of Sharpe ratios
10.2469/faj.v58.n4.2453 · ExternalCitation · doi-reference
The term structure of the risk–return trade-off
10.2469/faj.v61.n1.2682 · ExternalCitation · doi-reference
Equity returns at the turn of the month
10.2469/faj.v64.n2.11 · ExternalCitation · doi-reference
10.3386/w28788
10.3386/w28788 · ExternalCitation · doi-reference
10.3386/w30688
10.3386/w30688 · ExternalCitation · doi-reference
