working paper

## Flow-Based Asset Pricing: A Factor Framework of Cross-sectional Price Impacts

We study how noisy flows impact the prices of the cross-section of assets, particularly through the interaction between the factor structure of flows and the assets' risk structure. In our new framework, systematic flows into systematic risk factors …

## The Impact of Beliefs on Credit Markets: Evidence from Rating Agencies

An open question in finance and economics is how the beliefs of agents in the economy affect the credit cycle and real economic activity. We analyze the impact of beliefson credit market conditions in the context of credit rating agencies (CRAs). We …

## Factor Demand and Factor Returns

We propose a novel source of predictable price pressure resulting from mutual funds’ factor rebalancing behavior. When a fund’s factor demand is persistent, it needs to rebalance the portfolio’s factor exposure, leading to predictable trading at the …

## 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 …