Commodity Inattention (2016) [Job Market Paper] |
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Equity investors fail to fully appreciate information in commodity markets that affects stocks; a long short equity strategy that takes advantage of this inattention has alphas up to 1.5% per month. | |
Market Crash Risk and Slow Moving Capital (w/ Johnny Kang 2016) | |
Show that S&P 500 options contain significant forecasting information for returns on the value factor (HML) and junk vs. investment grade bonds due to slow moving mutual fund capital. | |
Is Real Interest Rate Risk Priced? Theory and Empirical Evidence (w/ Sam Kruger, 2016) | |
Analyze a model that suggests real interest rate risk should be priced and empirically examine pricing implications in the cross section of equities and bonds. |