PUBLISHED AND FORTHCOMING PAPERS

• “Investor Inattention and the Market Impact of Summary Statistics” March 2011. Joint with Thomas Gilbert, Shimon Kogan and Ataman Ozyildirim), forthcoming in the special issue on Behavioral Economics and Finance at Management Science. (Online Appendix)
  
  
• “Long-Run Risk through Consumption Smoothing,” (with Georg Kaltenbrunner), The Review of Financial Studies, 2010 (23), pp 3141-3189. (Online Appendix)
  
  • An earlier working paper version of this article has some additional results on operating leverage through sticky wages, as well as on return predictability that I still find interesting (LRR Working Paper)

• “Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion,” The Review of Financial Studies, 2009 (22), pp 5251 - 5294.
  
  
• "Estimation of a Stochastic-Volatility Jump-Diffusion Model" with Roger Craine and Knut Syrtveit, Revista de Analisis Economico, 2000, 15:61-87
  

WORKING PAPERS

• NEW: "Learning about Consumption Dynamics" April 2011. Joint with Michael Johannes and Yiqun Mou
  
  
• “Limits to Arbitrage and Hedging: Evidence from Commodity Markets” January 2010. Joint with Viral Acharya and Tarun Ramadorai.