working paper

Under- and Over-Reaction in Yield Curve Expectations

I study how professional forecasts of interest rates across maturities respond to new information. I document that forecasts for short-term rates underreact to new information while forecasts for long-term rates overreact. I propose a new explanation …

Factor Demand and Factor Returns

We study the asset-pricing implications of mutual funds' factor demand. Demand for a pricing factor, measured by loadings of fund returns on factor returns, is highly persistent at the fund level, generating a rebalancing motive when stock …

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 …