working paper

Factor Demand and Factor Returns

We propose and test a novel mechanism that links mutual funds’ factor demand to the performance of factors in the cross-section. Under this mechanism, a fund’s demand for a given factor is not elastic and induces a rebalancing motive, leading to …

Rating Agency Beliefs and Credit Market Distortions

The beliefs of credit rating agencies (CRAs) induce mispricing in bond markets which in turn affect firms' financial and investment decisions. We measure CRA beliefs as the difference in forecasts of future aggregate credit spreads between CRAs and a …

Under- and Overreaction in Yield Curve Expectations

I document a robust pattern in how Treasury market participants' yield curve expectations respond to new information: forecasts for short-term rates underreact to news while forecasts for long-term rates overreact. I propose a new explanation of this …

Rediscover Predictability: A Duration-Based Approach

The ratio of long- to short-term dividend prices, “price ratio” ($pr_t$), predicts annual market return with an out-of-sample $R^2$ of 19%, subsuming the predictive power of price-dividend ratio ($pd_t$). After controlling for $pr_t$, $pd_t$ …

Delegation Uncertainty

Delegation bears an intrinsic form of uncertainty. Investors hire managers for their superior models of asset markets, but delegation outcome is uncertain precisely because managers' model is unknown to investors. We model investors' delegation …