| October 2011 | A Model of Mortgage Default
with João F. Cocco: w17516
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| July 2010 | Hard Times
with Stefano Giglio, Christopher Polk: w16222
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| May 2009 | Understanding Inflation-Indexed Bond Markets
with Robert J. Shiller, Luis M. Viceira: w15014
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| April 2009 | Forced Sales and House Prices
with Stefano Giglio, Parag Pathak: w14866
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| March 2009 | The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
with Jason Beeler: w14788
|
| February 2009 | Measuring the Financial Sophistication of Households
with Laurent E. Calvet, Paolo Sodini: w14699
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| Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
with Adi Sunderam, Luis M. Viceira: w14701
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| July 2008 | Fight or Flight? Portfolio Rebalancing by Individual Investors
with Laurent E. Calvet, Paolo Sodini: w14177
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| September 2007 | Estimating the Equity Premium
w13423
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| May 2007 | Global Currency Hedging
with Karine Serfaty-de Medeiros, Luis M. Viceira: w13088
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| July 2006 | In Search of Distress Risk
with Jens Hilscher, Jan Szilagyi: w12362
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| May 2006 | Intergenerational Risksharing and Equilibrium Asset Prices
with Yves Nosbusch: w12204
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| April 2006 | Household Finance
w12149
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| February 2006 | Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
with Laurent E. Calvet, Paolo Sodini: w12030
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| August 2005 | How Do House Prices Affect Consumption? Evidence From Micro Data
with João F. Cocco: w11534
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| July 2005 | Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?
with Samuel B. Thompson: w11468
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| June 2005 | Caught On Tape: Institutional Order Flow and Stock Returns
with Tarun Ramadorai, Tuomo O. Vuolteenaho: w11439
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| Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
with Christopher Polk, Tuomo Vuolteenaho: w11389
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| February 2005 | The Term Structure of the Risk-Return Tradeoff
with Luis Viceira: w11119
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| February 2004 | Inflation Illusion and Stock Prices
with Tuomo Vuolteenaho: w10263
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| October 2003 | Efficient Tests of Stock Return Predictability
with Motohiro Yogo: w10026
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| June 2003 | Household Risk Management and Optimal Mortgage Choice
with Joao F. Cocco: w9759
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| March 2003 | Strategic Asset Allocation in a Continuous-Time VAR Model
with George Chacko, Jorge Rodriguez, Luis M. Viciera: w9547
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| February 2003 | Bad Beta, Good Beta
with Tuomo Vuolteenaho: w9509
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| July 2002 | Foreign Currency for Long-Term Investors
with Luis M. Viceira, Joshua S. White: w9075
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| May 2002 | Equity Volatility and Corporate Bond Yields
with Glen B. Taksler: w8961
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| October 2001 | A Multivariate Model of Strategic Asset Allocation
with Yeung Lewis Chan, Luis M. Viceira: w8566
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| April 2001 | Valuation Ratios and the Long-Run Stock Market Outlook: An Update
with Robert J. Shiller: w8221
|
| March 2000 | Asset Pricing at the Millennium
w7589
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| Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
with Martin Lettau, Burton G. Malkiel, Yexiao Xu: w7590
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| July 1999 | Explaining the Poor Performance of Consumption-Based Asset Pricing Models
with John H. Cochrane: w7237
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| May 1999 | Dispersion and Volatility in Stock Returns: An Empirical Investigation
with Martin Lettau: w7144
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| March 1999 | Investing Retirement Wealth: A Life-Cycle Model
with Joao F. Cocco, Francisco J. Gomes, Pascal J. Maenhout: w7029
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| November 1998 | Who Should Buy Long-Term Bonds?
with Luis M. Viceira: w6801
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| October 1998 | Elasticities of Substitution in Real Business Cycle Models with Home Production
with Sydney Ludvigson: w6763
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| March 1998 | Asset Prices, Consumption, and the Business Cycle
w6485
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| December 1996 | Consumption and Portfolio Decisions When Expected Returns are Time Varying
with Luis M. Viceira: w5857
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| November 1996 | Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices
with David G. Barr: w5821
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| June 1996 | Consumption and the Stock Market: Interpreting International Experience
w5610
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| May 1996 | A Scorecard for Indexed Government Debt
with Robert J. Shiller: w5587
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| February 1995 | Some Lessons from the Yield Curve
w5031
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| January 1995 | By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
with John H. Cochrane: w4995
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| December 1993 | International Experiences with Securities Transaction Taxes
with Kenneth A. Froot: w4587
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| November 1993 | Understanding Risk and Return
w4554
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| September 1993 | Why Long Horizons: A Study of Power Against Persistent Alternatives
t0142
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| April 1993 | Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
with Jianping Mei: w4329
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| October 1992 | Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model
w4188
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| Trading Volume and Serial Correlation in Stock Returns
with Sanford J. Grossman, Jiang Wang: w4193
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| February 1992 | Intertemporal Asset Pricing Without Consumption Data
w3989
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| October 1991 | The Response of Consumption to Income
with N. Gregory Mankiw: r1645
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| September 1991 | Yield Spreads and Interest Rate Movements: A Bird's Eye View
with Robert J. Shiller: w3153
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| A Variance Decomposition for Stock Returns
w3246
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| Measuring the Persistence of Expected Returns
w3305
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| June 1991 | No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
with Ludger Hentschel: w3742
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| What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
with John Ammer: w3760
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| April 1991 | Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots
with Pierre Perron: t0100
|
| January 1991 | Permanent Income, Current Income, and Consumption
with N. Gregory Mankiw: w2436
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| May 1990 | Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence
with N. Gregory Mankiw: w2924
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| December 1989 | Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
with Yasushi Hamao: w3191
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| November 1989 | Is Consumption Too Smooth?
with Angus Deaton: w2134
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| October 1989 | International Evidence on the Persistence of Economic Fluctuations
with N. Gregory Mankiw: w2498
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| May 1989 | The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
with Robert J. Shiller: w2100
|
| Interpreting Cointegrated Models
with Robert J. Shiller: w2568
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| April 1989 | Stock Prices, Earnings and Expected Dividends
with Robert J. Shiller: w2511
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| October 1988 | Smart Money, Noise Trading and Stock Price Behavior
with Albert S. Kyle: t0071
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| September 1988 | Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
w1805
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| The Dollar and Real Interest Rates
with Richard H. Clarida: w2151
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| July 1988 | The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study
with Robert J. Shiller: t0067
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| June 1988 | Cointegration and Tests of Present Value Models
with Robert J. Shiller: w1885
|
| Are Output Fluctuations Transitory?
with N. Gregory Mankiw: w1916
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| 1988 | Stock Returns and the Term Structure
w1626
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| October 1987 | Permanent and Transitory Components in Macroeconomic Fluctuations
with N. Gregory Mankiw: w2169
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| May 1987 | Money Announcements, the Demand for Bank Reserves and the Behavior of the Federal Funds Rate Within the Statement Week
w1806
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| April 1987 | Household Saving and Permanent Income in Canada and the United Kingdom
with Richard H. Clarida: w2223
|
| March 1987 | Bond and Stock Returns in a Simple Exchange Model
w1509
|
| The Term Structure of Euromarket Interest Rates: An Empirical Investigation
with Richard H. Clarida: w1946
|
| March 1986 | A Defense of Traditional Hypotheses About the Term Structure of InterestRates
w1508
|
| September 1983 | A Simple Account of the Behavior of Long-Term Interest Rates
with Robert J. Shiller: w1203
|
