• Research Interests

  • Asset Pricing

    Empirical Asset Pricing, Policy, Macro Finance, Financial Econometrics, Volatility

  • Select Publications

  • Select Working Papers

    • Transaction Costs and Volatility-Managed Portfolios, with Pedro Barroso
    • The Cross-Section of Volatility and Expected Returns: Then and Now, with Jefferson Duarte, Avraham Kamara, Stephan Siegel, and Celine Sun, conditionally accepted at Critical Finance Review
  • Awards

  • Select Discussions

  • China International Conference in Finance, Guangzhou, China, July 2019

    Financial Intermediation Research Society, Savannah, GA, May 2019

    • Product Market Competition and the Profitability Premium, by Yao Deng (Slides)

    Front Range Finance Conference, Denver, CO, May 2019

    • Deregulation, Market Structure, and the Demise of Old-School Banking, by Emilio Bisetti, Stephen A. Karolyi, and Stefan Lewellen (Slides)

    UBC Winter Finance Conference, Whistler, BC, March 2018

    • What You See Is Not What You Get: The Costs of Trading Market Anomalies, by Andrew J. Patton and Brian M. Weller (Slides)

  • Presentations

  • Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios

    • Catolica Lisbon Business School*, Lisbon, December 2018
    • ISEG*, Lisbon, September 2018
    • Cass Business School*, London, July 2018
    • Financial Management Association, San Diego, October 2018
    • 12th Annual Meeting of the Portuguese Economic Journal*, Lisbon, July 2018
    • University of Colorado Denver, Denver, CO, March, 2018

    Bitcoin: Predictability and Profitability by Technical Analysis

    • Federal Reserve Board, Washington, D.C., January 2019
    • EUROFIDAI December Paris Finance Meetings*, Paris, December 2018
    • 2018 Conference on Financial Predictability and Big Data*, Beijing, June 2018
    • Shanghai University of Finance and Economics*, Shanghai, June 2018
    • Renmin University of China*, Beijing, June 2018
    • Beijing University, Beijing*, June 2018
    • China Finance Review International Conference*, Shanghai, June 2018
    • Washington University*, St. Louis, February 2018

    Expected vs Ex Post Profitability in the Cross-section of Industry Returns

    • American Accounting Association Western Region Meeting, Vancouver, WA, April, 2018

    There are Two Very Different Accruals Anomalies

    • Southern Finance Association, Key West, FL, November, 2017
    • Financial Management Association, Boston, MA, October, 2017
    • University of Colorado Denver Front Range Finance Seminar, Denver, CO, April, 2017

    The Dog has Barked for a Long Time: Dividend Growth is Predictable

    • 38th Internatial Symposium on Forecasting, Boulder, CO, June 2018
    • Financial Management Association, Las Vegas, NV, October, 2016
    • World Finance Conference, New York, NY, July, 2016
    • University of Colorado Denver Front Range Finance Conference, Denver, CO, April, 2016

    Monetary Policy Surprises, Investment Opportunities, and Asset Prices

    • Blackrock, San Francisco, CA, January, 2016
    • American Finance Association, San Francisco, CA, January, 2016
    • EUROFIDAI December Paris Finance Meeting, Paris, France, December, 2015
    • Australia National University Research School of Finance, Actuarial Science and Statistics, Summer Research Camp, Murramarang, Australia, December, 2015
    • University of Colorado, Denver, CO, November, 2015
    • Financial Management Association 2015, Orlando, FL, October, 2015
    • Northern Finance Association Annual Meeting, Lake Louise, Alberta, Canada, September, 2015
    • Purdue University, West Lafayette, IN, November, 2014
    • University of Wyoming, Laramie, WY, November, 2014
    • University of Denver, Denver, CO, November, 2014
    • Colorado State University, Fort Collins, CO, October, 2014
    • University of Missouri, Columbia, Missouri, October, 2014

    The Asset Pricing Implications of Government Economic Policy Uncertainty

    • 2015 North American Winter Meeting of the Econometric Society (at the ASSA meetings). Boston, January, 2015
    • McGill Global Asset Management Conference. Montreal, June, 2013
    • WU Gutmann Center Symposium*, June, 2013
    • 12th Annual Darden International Finance Conference. Charlottesville, VA, April, 2013
    • NETSPAR: International Pension Workshop. Amsterdam, January, 2013
    • Becker Friedman Institute: Policy Uncertainty and Its Economic Implications*. University of Chicago, Chicago, IL, December, 2012
    • Australia National University Research School of Finance: Actuarial Studies and Applied Statistics Summer Camp*, December, 2012 
    (*Done by coauthor)

This portfolio last updated: 25-Jun-2019 8:00 PM