Recent Working Papers

Model comparison with transaction costs (with Andrew Detzel and Mihail Velikov), Journal of Finance, 2022, Forthcoming

Betting Against Betting Against Beta (with Mihail Velikov), Journal of Financial Economics 143 (1), 2022, 80-106

Comparing Cost-Mitigation Techniques (with Mihail Velikov), Financial Analysts Journal 75 (1), 2019, 85-102.

Liquidity risk and asset pricing (with Hongtao Li and  Mihail Velikov), Critical Review of Finance 8 (2), 2019.

A Taxonomy of Anomalies and their Trading Costs (with Mihail Velikov), Review of Financial Studies 29 (1), 2016, 104-147.

Predicting Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars, Journal of Financial Economics 112 (2), 2014, 137-146.

Linking Benefits to Investment Performance in US Public Pension Systems (with Joshua D. Rauh), Journal of Public Economics, 116, 2014, 47-61.

The Revenue Demands of Public Employee Pension Promises (with Joshua D. Rauh), 2013, American Economic Journal: Economic Policy 6 (1), 2014, 193-229.

The Other Side of Value: The Gross Profitability Premium, Journal of Financial Economics 108 (1), 2013, 1-28.

• 2014 Whitebox Advisors Selected Research Prize for outstanding contribution (published the year prior) to the art and science of investing.

• 2013 Fama-DFA Prize for the best capital markets/asset pricing paper in the JFE. [link]

• 2012 AQR Insight Award Distinguished Paper Prize. [link]

Logical Implications of GASB’s Methodology for Valuing Pension Liabilities, Financial Analysts Journal 69 (1), 2013, 26-32.

Fiscal Imbalances and Borrowing Costs: Evidence from State Investment Losses (with Joshua D. Rauh), American Economic Journal: Economic Policy 4(2), 2012, 182-213.

Is Momentum Really Momentum?, Journal of Financial Economics 103 (3), 2012, 429-453.

• 2012 Fama-DFA Prize for the best capital markets/asset pricing paper in the JFE. [link]

• 2012 Whitebox Advisors Selected Research Prize for outstanding contribution (published the year prior) to the art and science of investing (second place).

Public Pension Promises: How Big Are They and What Are They Worth? (with Joshua D. Rauh), Journal of Finance 66 (4), 2011, 1211-1249.

• 2011 Smith-Breeden Prize for the best capital markets paper in the Journal of Finance.

Operating leverage, Review of Finance 15 (1), 2011, 103-134.

• 2011 Spängler IQAM Prize for the best paper in the Review of Finance.

Policy Options for State Pension Systems and Their Impact on Plan Liabilities (with Joshua D. Rauh), Journal of Pension Economics and Finance 10(2), 2010, 173-194.

Hot and cold markets, Real Estate Economics 37(1), 2009, 1-22.

• 2009 Mills Prize for the best paper in Real Estate Economics.

The Liabilities and Risks of State-Sponsored Pension Plans (with Joshua D. Rauh), Journal of Economic Perspectives 23 (4), 2009, 191-210.

An equilibrium model of investment under uncertainty, Review of Financial Studies 20 (5), 2007, 1461-1502.

Older Working Papers

Backtesting strategies based on multiple signals

Fundamentally, momentum is fundamental momentum

How can a q-theoretic model price momentum?

Quality Investing, December 2012 (significantly revised May 2014).

An Alternative Three Factor Model (with Long Chen and Lu Zhang), May 2010.

Preempting Preemptive Investment, November 2009.

Real Estate and the Economy: Aggregate Implications of Irreversible Investment, November 2009.

Competition, Productivity, Organization and the Cross Section of Expected Returns, June 2009.

Other Publications

Financial Valuation of PBGC Insurance with Market Implied Default Probabilities (with Joshua D. Rauh and Jules van Binsbergen), 2014, forthcoming in Tax Policy and the Economy.

The Crisis in Local Government Pensions in the United States (with Joshua D. Rauh), 2011, Growing Old: Paying for Retirement and Institutional Money Management after the Financial Crisis, Robert Litan and Richard Herring, eds., Brookings Institution, Washington, DC.

Contains city and county breakdown of $0.6 trillion unfunded liabilities at the local level.

Opinions

Pension Security Bonds: A New Plan to Address the Pension Crisis (with Joshua D. Rauh), The Economists' Voice 7(3), 2010.

Cited in the Financial Times. [link]

Can the Illinois Pension Catastrophe Be Stopped? (with Joshua D. Rauh), Chicago Tribune, 13 Aug 2010.

Other Papers  

The Intergenerational Transfer of Public Pension Promises (with Joshua D. Rauh).