Published and Forthcoming Articles

How the Wealth Was Won: Factors Shares as Market Fundamentals (with Dan Greenwald and Martin Lettau ). Journal of Political Economy, (forthcoming). Virtual Finance Workshop presentation here.
Market Reactions to the Federal Reserve’s Balance Sheet Normalization Plans. Brookings Papers on Economic Activity, Fall 2022: 243-258.
Belief Distortions and Macroeconomic Fluctuations (with Francesco Bianchi and Sai Ma). American Economic Review, 2022, 112(7): 2269-2315.
Monetary Policy and Asset Valuation (with Francesco Bianchi and Martin Lettau). The Journal of Finance, 2022, 77(2): 967-1017. NBER Working paper version HERE.
Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? (with Sai Ma and Serena Ng). American Economic Journal: Macroeconomics, 2021, 13(4): 369-410.
Covid-19 and the Costs of Deadly Disasters (with Sai Ma and Serena Ng). AEA Papers and Proceedings, 2021, 111: 366-370.
Drivers of the Great Housing Boom-Bust: Credit Conditions, Beliefs, or Both? (with Josue Cox). Real Estate Economics, 2019, 1-33. Winner of the 2021 Edward Mills Best Paper Award in Real Estate Economics.
Capital Share Risk in U.S. Asset Pricing (with Martin Lettau and Sai Ma). The Journal of Finance, 2019 74(4): 1753-1792.

The Macroecononomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium, (with Jack Favilukis and Stijn Van Nieuwerburgh). Journal of Political Economy, 2017, 125(1): 140-223. Winner of best paper prize, Utah Winter Finance Conference, 2010. Additional results in NBER Working Paper version here.

Measuring Uncertainty (with Kyle Jurado and Serena Ng). The American Economic Review, 2015, 105(3): 1177-1215. Supplementary material (including data appendix). Data HERE.

Investor Information, Long-Run Risk, and the Term Structure of Equity (with Massimiliano Croce and Martin Lettau). The Review of Financial Studies, 2015, 8(3): 706-742, Download online appendix HERE.

Shocks and Crashes (with Martin Lettau). National Bureau of Economic Research Twenty-eighth Macroeconomics Annual, 2013, e.d. by Jonathan Parker and Michael Woodford, 2013, pp. 293-354. MIT Press, Cambridge, MA. Download online appendix HERE.

An Estimation of Economic Models With Recursive Preferences (with Jack Favilukis and Xiaohong Chen). Quantitative Economics, 2013, 4(1): 39-83. Download online Appendix HERE.

International Capital Flows and House Prices: Theory and Evidence (with Jack Favilukis, David Kohn, and Stijn Van Nieuwerburgh). Housing and the Financial Crisis, 2013, e.d. by Edward L. Glaeser and Todd Sinai, pp. 235-299. University of Chicago Press, Chicago, IL.

Advances in Consumption-Based Asset Pricing: Empirical Tests Handbook of the Economics of Finance, 2013, e.d. by George M. Constantinides, Milton Harris and Rene M. Stulz, vol. 2, pp. 799-906. Elsevier Science B.V., North Holland, Amsterdam.

A Factor Analysis of Bond Risk Premia (with Serena Ng). Handbook of Empirical Economics and Finance, 2010, e.d. by Aman Uhla and David E. A. Giles, pp. 313-372. Chapman and Hall, Boca Raton, FL. Download large dataset used to create factors HERE.

Measuring and Modeling Variation in the Risk-Return Tradeoff (with Martin Lettau). Handbook of Financial Econometrics, 2010, ed. by Yacine Ait-Sahalia and Lars P. Hansen vol. 1, pp. 617-690. Elsevier Science B.V., North Holland, Amsterdam.

Macro Factors in Bond Risk Premia (with Serena Ng). The Review of Financial Studies, 2009, 22(12): 5027-5067.

Euler Equation Errors (with Martin Lettau).Review of Economic Dynamics, 2009, 12(2): 255-283.

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models (with Xiaohong Chen). Journal of Applied Econometrics, 2009, 24(7): 1057-1093.

Discussion of Housing and Consumer Behavior Proceedings of the Federal Reserve Bank of Kansas City's symposium on "Housing, Housing Finance, and Monetary Policy," Jackson Hole, Wyoming, August 30-September 1, 2007.

The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (with Martin Lettau and Jessica A. Wachter). The Review of Financial Studies, 2008, 21(4): 1653-1687. Additional results in NBER working paper version HERE.

The Empirical Risk-Return Tradeoff: A Factor Analysis Approach (with Serena Ng). The Journal of Financial Economics, 2007, 83: 171-222.

Expected Returns and Expected Dividend Growth (with Martin Lettau) The Journal of Financial Economics, 2005, 76: 583-626"
tay's As Good as cay: Reply (with Martin Lettau) Finance Research Letters, 2005, 2(1): 15-22.

Consumer Confidence and Consumer Spending Journal of Economic Perspectives, 2004, Spring, 18(2): 29-50.

Monetary Policy Transmission Through the Consumption-Wealth Channel (with Charles Steindel and Martin Lettau). FRBNY Economic Policy Review, 2002, May, 117-133.

Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia are Time-Varying (with Martin Lettau) Journal of Political Economy, 2001, December, 109(6): 1238-1287.

Elasticities of Substitution in Real Business Cycle Models With Home Production (with John Y. Campbell) Journal of Money, Credit and Banking, 2001, November, 33(4): 847-875.

"Consumption, Aggregate Wealth, and Expected Stock Returns." (with Martin Lettau) Journal of Finance, 2001, June, 56(3): 815-849.

"Approximation Bias in Linearized Euler Equations." (with Christina H. Paxson) Review of Economics and Statistics, 2001, May, 83(2): 242-256.

How Important is the Stock Market Effect on Consumption? (with Charles Steindel) FRBNY Economic Policy Review, 1999, July, 5(2): 29-51. If you are interested in this paper, you may also be interested in "Understanding Trend and Cycle in Asset Values."