The following papers have been
published or are forthcoming:
1. “First-Order
Risk Aversion, Heterogeneity, and Asset Market Outcomes” (with Valery Polkovnichenko), August 2008, forthcoming in the Journal
of Finance.
2. “Why Constrain Your Mutual
Fund Manager?” (with Andres Almazan,
Keith C. Brown, and Murray Carlson), Journal of Financial Economics,
73(2),
(2004), pages 289-321.
3. “Does Intrinsic Habit Formation Actually
Resolve the Equity Premium Puzzle?” , Review
of Economic Dynamics, 5 (2002), pages 618-645.
4. “Recent
Advances in Estimating Term-Structure Models,” (with Neil D. Pearson), Financial
Analysts Journal, 57(4) (2001), pages 77-95.
5. “Is the
Short Rate Drift Actually Nonlinear?” (with Neil
D. Pearson), Journal of Finance 55(1) (2000), pages 355-388.
6. "Using
Proxies for the Short Rate: When Are Three Months Like an Instant?" (with John Long and Neil D. Pearson), Review of
Financial Studies, 12(4) (1999), pages 763-806.
7. "Habit
Formation and Aggregate Consumption," Econometrica
66(5) (1998), pages 1223-1230.
8. "Approximating
the Asset Pricing Kernel," Journal of Finance 52 (1997),
pages 1383-1410.
9. "The
Cyclical Properties of Consumption Growth and the Real Term Structure,"
Journal of Monetary Economics 39 (1997), pages 145-172.
10. "Cotrending
and the Stationarity of the Real Interest Rate," (with Masao Ogaki) Economics Letters 42 (1993), pages 133-138.