About

I am an assistant professor of finance at the Haas School of Business at UC Berkeley, as well as a faculty research fellow at the National Bureau of Economic Research. My research interests include asset pricing, macroeconomics, behavioral economics, and time-series econometrics.

Research topics

• Computer Science
• Econometrics
• Financial economics
• Finance
• Applied mathematics
• Statistics
• Mathematics
• Combinatorics
• Monetary economics
• Economics
• Business

Selected publications

• Interest Rates and Equity Valuations

  National Bureau of Economic Research · 2026-02-01

  reportOpen accessSenior author

  A large body of work has sought to measure the effect of interest rates on equity valuations.The challenge in doing so is that both are endogenous, and their comovement depends on the forces driving interest-rate changes.To address this problem, we develop and estimate a decomposition that splits movements in real rates into three structural drivers: changes in expected growth, risk, or "pure discounting."We show that only pure discount-rate shocks transmit one-for-one to equity valuations, with little or negative transmission of growth and risk shocks.Implementing our decomposition with a global panel of growth expectations and asset prices, we find a weak unconditional relation between valuations and real rates but a strong relation with the pure discounting component, which explains 80% of cross-country valuation changes since 1990.In the U.S., we find that 35% of the interest-rate decline is attributable to pure discounting, implying that only a fraction of the change in rates has passed through directly to equities.We use the decomposition to revisit evidence on the role of interest rates in explaining price variation, and to study higher-frequency returns, cross-sectional rate exposures, duration-matched equity premia, and reactions to monetary policy.

  PublisherDOI

• Interest Rates and Equity Valuations

  SSRN Electronic Journal · 2026-01-01

  preprintOpen accessSenior author
  PublisherDOI

• Interest Rates and Equity Valuations

  SSRN Electronic Journal · 2026-01-01

  preprintOpen accessSenior author
  PublisherDOI

• Excess Movement in Option-Implied Beliefs

  SSRN Electronic Journal · 2025-01-01

  preprintOpen accessSenior author
  PublisherDOI

• The Cyclicality of Risk and Risk Premia

  SSRN Electronic Journal · 2025-01-01

  preprintOpen accessSenior author
  PublisherDOI

• Overinference from Weak Signals and Underinference from Strong Signals

  The Quarterly Journal of Economics · 2024-10-14 · 33 citations

  articleOpen access

  Abstract When people receive new information, sometimes they revise their beliefs too much, and sometimes too little. We show that a key driver of whether people overinfer or underinfer is the strength of the information. Based on a model in which people know which direction to update in, but not exactly how much to update, we hypothesize that people will overinfer from weak signals and underinfer from strong signals. We then test this hypothesis across four different environments: abstract experiments, a naturalistic experiment, sports betting markets, and financial markets. In each environment, our consistent and robust finding is overinference from weak signals and underinference from strong signals. Our framework and findings can help harmonize apparently contradictory results from the experimental and empirical literatures.

  PublisherOA PDFDOI

• Forward Return Expectations

  SSRN Electronic Journal · 2023-01-01 · 1 citations

  articleOpen accessSenior author
  PublisherDOI

• Duration‐Driven Returns

  The Journal of Finance · 2023 · 111 citations

  Senior authorCorresponding
  • Economics
  • Financial economics
  • Econometrics

  ABSTRACT We propose a duration‐based explanation for the premia on major equity factors, including value, profitability, investment, low‐risk, and payout factors. These factors invest in firms that earn most of their cash flows in the near future and could therefore be driven by a premium on near‐future cash flows. We test this hypothesis using a novel data set of single‐stock dividend futures, which are claims on dividends of individual firms. Consistent with our hypothesis, the expected Capital Asset Pricing Model alpha on individual cash flows decreases in maturity within a firm, and the alpha is not related to the above characteristics when controlling for maturity.

  PublisherOA PDFDOI

• Forward Return Expectations

  National Bureau of Economic Research · 2023-09-01 · 13 citations

  reportOpen accessSenior author

  We measure investors' short-and long-term stock-return expectations using both options and survey data.These expectations at different horizons reveal what investors think their own shortterm expectations will be in the future, or forward return expectations.While contemporaneous short-term expectations are not countercyclical across all data sources, we find that forward expectations are consistently countercyclical, and excessively so: in bad times, forward expectations are higher than justified by investors' own subsequent short-term return expectations.This excess volatility in forward expectations helps account for excess volatility in prices, inelastic demand for equities, and stylized facts about the equity term structure.

  PublisherDOI

• Forward Return Expectations

  SSRN Electronic Journal · 2023-01-01

  articleOpen accessSenior author
  PublisherDOI

Frequent coauthors

• James H. Stock

  Harvard University

  8 shared

• Niels Joachim Gormsen

  7 shared

• Ned Augenblick

  University of California, Berkeley

  5 shared

• Mark W. Watson

  5 shared

• Daniel Lewis

  5 shared

• Michael Thaler

  3 shared

• Mihir Gandhi

  3 shared

• D M Yajko

  1 shared