Working papersReturn Extrapolation and Day/Night Effects, 2022, with Sungjune Pyun and Tong Wang
Using data from polygon.io
Do Option Prices Forecast Aggregate Stock Returns?, 2018, with Haitao Mo and Tong Wang
Journal articlesVery Noisy Option Prices and Inferences Regarding the Volatility Risk Premium, 2022, with Jefferson Duarte and Junbo Wang, Journal of Finance, forthcoming.
Out-of-Sample Performance of Mutual Fund Predictors, 2021, with Haitao Mo, Review of Financial Studies, Volume 34, Issue 1, Pages 149-193.
Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility, 2009, with Pierre Collin-Dufresne and Bob Goldstein, Journal of Financial Economics, Volume 94, Number 1, Pages 47-66.
Identification of Maximal Affine Term Structure Models, 2008, with Pierre Collin-Dufresne and Bob Goldstein, Journal of Finance, Volume 63, Number 2, Pages 743-795.
A Nonlinear Factor Analysis of S&P 500 Index Option Returns, 2006, Journal of Finance, Volume 61, Number 5, Pages 2325-2363.
Mutual Fund Performance with Learning Across Funds, 2005, with Jay Shanken, Journal of Financial Economics 78, 507-552.
Bayesian Range-Based Estimation of Stochastic Volatility Models, 2005, with Michael Brandt, Finance Research Letters 2, 201-209.
The Dynamics of Stochastic Volatility: Evidence from Underlying and Options Markets, 2003, Journal of Econometrics, Volume 116, Pages 181-224.
Nonlinear Mean Reversion in the Short-Term Interest Rate, 2003, Review of Financial Studies, Volume 16, Number 3, Pages 793-843.
Extracting Factors from Heteroskedastic Asset Returns, 2001 Journal of Financial Economics, Volume 62, Issue 2, Pages 293-325. Programs and sample data
Permanent working papersThe Market Price of Volatility Risk, 2007, with Jefferson Duarte
I currently teach Investment Analysis and Portfolio Management (FBE 555) and Quantitative Investing (FBE 551). Prior to that I taught several PhD-level courses in empirical asset pricing.