Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors
with Nikolay Gospodinov and Raymond Kan, 2014, Review of Financial Studies 27, pp. 2139-2170.
Research
Spurious Inference in Unidentified Asset-Pricing Models
with Nikolay Gospodinov and Raymond Kan, 2014, Federal Reserve Bank of Atlanta Working Paper 2014-12.
Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
with Raymond Kan and Jay Shanken, 2013, Journal of Finance 68, pp. 2617-2649.
Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models
with Nikolay Gospodinov and Raymond Kan, 2013, Journal of Econometrics 173, pp. 108-125.
Asset Pricing Theories, Models, and Tests
with Nikolay Gospodinov, 2013, in Portfolio Theory and Management, H. Kent Baker, Greg Filbeck, eds., Chapter 3, pp. 46-72, Oxford University Press.
Further Results on the Limiting Distribution of GMM Sample Moment Conditions
with Nikolay Gospodinov and Raymond Kan, 2012, Journal of Business and Economic Statistics 30, pp. 494-504.
Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions
with Raymond Kan, 2012, in Handbook of Computational Finance, Jin-Chuan Duan, James E. Gentle, Wolfgang Haerdle, eds., Chapter 9, pp. 223-251, Springer.
On the Estimation of Asset Pricing Models Using Univariate Betas
with Raymond Kan, 2011, Economics Letters 110, pp. 117-121.
Asset Pricing Models and Economic Risk Premia: A Decomposition
with Pierluigi Balduzzi, 2010, Journal of Empirical Finance 17, pp. 54-80.
Model Comparison Using the Hansen-Jagannathan Distance
with Raymond Kan, 2009, Review of Financial Studies 22, pp. 3449-3490.