Publications
- Extreme Inflation and Time-Varying Expected Consumption Growth (2022), forthcoming Management Science
(with Christoph Meinerding and Christian Schlag)
Informational role of inflation for asset pricing and for sign switching in the time series of stock-bond return correlation.
Selected Presentations: WFA 2018*, Paris December Finance Meeting 2017 , MFA 2017, Wharton, BI Oslo, Goethe University Frankfurt, Deutsche Bundesbank
Working Papers
We propose to decompose total disagreement of professional forecasters into the disagreement among optimists and pessimists and show empirically that both disagreement measures are priced and command different risk premia with a negative (positive) premium for pessimistic (optimistic) disagreement.
Presented at: EEA 2021 , MFA 2021, SGF 2021, Leibniz Institute for Financial Research SAFE
- Risk Aversion in Corporate Bond Markets and Endogenous Preferences (2021) (with Antje Berndt and Jean Helwedge)
We examine the time variation of risk aversion in corporate bond markets and its relationship with monetary policy, using data from 1973 to 2020.
- The Capital Structure and Productivity Channels of Hedge Fund Activism (2021) (with Antje Berndt) (coming soon)
- Production and Endogenous Preferences (2018)
Consumer preferences for goods can explain wealth allocations across different sectors and their excess returns in U.S. economy.
Selected Presentations: Eastern FA 2021, EEA 2020, PMFC 2019, New Economic School
- International Capital Markets with Time-Varying Preferences (2017) (with Giuliano Curatola) R&R in JEBO
Time-varying preferences are a plausible driver of key macroeconomic variables and stock returns and account for home bias in consumption and portfolios.
Selected Presentations: Paris December Finance Meeting 2018, EEA 2018, Bank of Lithuania and University of Zurich
Stock return predictability in emerging markets. Out-of-sample decomposition of predictability shows that time-varying macroeconomic risk premium can be captured by the conditional CAPM model.
Presented at: PFMC 2018, WIEM 2018, World Finance & Banking Symposium in Bangkok 2017
Work in Progress
- Are Big European Banks Still Too Big To Fail? (with Antje Berndt, Darrell Duffie and Yichao Zhu)