02
Business-Cycle Variation in Factor Premia
Research on cyclical variation in factor returns and potential rational and behavioural channels.
Research
Questions, evidence,
and market behaviour.
Selected work in empirical asset pricing, financial markets and quantitative research.
01
Macro-Regime Dependent Asset Pricing
Testing whether macroeconomic state dependence in factor exposures and premia translates into better real-time forecasts of U.S. industry returns.