Hanken School of Economics
Teaching
Research Interest
Empirical asset pricing; Multifactor models and cross-sectional asset pricing; Time-series predictability of stock returns; Macro-finance (macroeconomic asset pricing models); Monetary policy and stock returns; Macroeconomy and stock returns; Time-series predictability of currency returns; Time-series predictability of bond returns
Selected publications
“Multifactor models and their consistency with the ICAPM” (with Pedro Santa-Clara), Journal of Financial Economics (forthcoming). link internet appendix
“Intertemporal CAPM with conditioning variables”, Management Science (forthcoming). link internet appendix
“The ‘Fed model’ and the predictability of stock returns”, third round. link
“Don’t fight the Fed!”, second round. link"Interest rate risk and the cross-section of stock returns” (with Abraham Lioui). link
“Bond risk premia, return decomposition and the Intertemporal CAPM”. link
“Another look at the stock return response to monetary policy actions”. link
"Value, momentum, and short-term interest rates" (with Pedro Santa-Clara). link
