Exact and Asymptotic Distributions of the Difference of Sample Squared Sharpe Ratios
with Raymond Kan and Xiaolu Wang, 2026, working paper.
Research
R-Squareds in the Cross Section and Time Series
with Pierluigi Balduzzi, Tommaso Bonafini, and Roberto Savona, 2026, working paper.
Comparing factor models under regime switching
with Shamim Ahmed, Daniel Tsvetanov, and Xiaoxia Ye, 2026, accepted for publication in Management Science.
The Corporate Bond Factor Replication Crisis
with Alex Dickerson and Giulio Rossetti, 2026, working paper.
Comparing Factor Models under Regime Switching
with Shamim Ahmed, Daniel Tsvetanov, and Xiaoxia Ye, 2024, working paper.
Factor Investing with Delays
with Alexander Dickerson and Yoshio Nozawa, 2024, working paper.
Misspecification and Weak Identification in the Nontraded Factor Zoo
with Amedeo Andriollo and Xinyi Zhang, 2024, working paper.
Reproducibility in Management Science
with Milos Fisar, Ben Greiner, Christoph Huber, Elena Katok, Ali I. Ozkes, and the Management Science Reproducibility Collaboration, 2024, Management Science forthcoming.
Common Pitfalls in the Evaluation of Corporate Bond Strategies
with Alexander Dickerson and Giulio Rossetti, 2024, working paper.
On the Statistical Properties of Tests of Parameter Restrictions in Beta-Pricing Models with a Large Number of Assets
with Amedeo Andriollo and Giulio Rossetti, 2024, working paper.