Research

Working Papers


  • "The Cross-Section of Household Preferences" (with J. Campbell, F. Gomes and P. Sodini), June 2021.

Paper

Appendix

Supplementary Appendix


  • "What Do the Portfolios of Individual Investors Reveal about the Cross-Section of Equity Returns?" (with S. Betermier, S. Knüpfer, and J. Kvaerner), March 2021.

Best Paper Award at 2021 Northern Finance Association conference

Paper


  • "A Supply and Demand Approach to Equity Pricing" (with S. Betermier and E. Jo), November 2020.

Paper

Book



Journal Publications


  • "Can Security Design Foster Household Risk-Taking?" (with C. Célérier, P. Sodini and B. Vallée), June 2021, forthcoming Journal of Finance.

Paper

Appendix


  • "Rich Pickings? Risk, Return, and Skill in Household Wealth" (with L. Bach and P. Sodini), American Economic Review 110 (9), 2703-2747, September 2020.

Published Version DOI

Appendix


  • "Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics" (with A. Fisher and L. Wu), Journal of Financial and Quantitative Analysis 53 (2), pp. 937-963, April 2018.

Published Version DOI


  • "Aggregation of Heterogeneous Beliefs, Risk Sharing and Asset Pricing in Complete Financial Markets" (with J.-M. Grandmont and I. Lemaire), Research in Economics 72 (1), pp. 117-146, March 2018.

Published Version DOI


  • "Who are the Value and Growth Investors?"(with S. Betermier and P. Sodini), Journal of Finance 72 (1), pp. 5-46, February 2017 .

Published Version DOI


  • Robust Filtering (with V. Czellar and E. Ronchetti), Journal of the American Statistical Association 110 (512), pp. 1591-1606, December 2015.

Published Version DOI


  • "Accurate Methods for Approximate Bayesian Computation Filtering" (with V. Czellar). Journal of Financial Econometrics 13 (4), pp. 798-838, Fall 2015

Published Version DOI


  • "What is Beneath the Surface? Option Pricing with Multifrequency Latent States" (with M. Fearnley, A. Fisher and M. Leippold), Journal of Econometrics 187 (2), pp. 498-511, August 2015.

Published Version DOI


  • "Through the Looking Glass: Indirect Inference via Simple Equilibria" (with V. Czellar), Journal of Econometrics 185 (2), pp. 343-358. Received the Best y-BIS Paper Award from the American Statistical Association and the National Institute of Statistical Sciences.

Published Version DOI

Appendix


  • "Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios" (with P. Sodini), Journal of Finance 69 (2), pp. 867-906, April 2014.

Published Version DOI

Appendix


  • "Extreme Risk and Fractal Regularity in Finance" (with A. Fisher), In: Fractal Geometry and Dynamical Systems in Pure and Applied Mathematics II: Fractals in Applied Mathematics, D. Carfi, M. Lapidus, E. Pearse and M. van Frankenhuijsen eds., Contemporary Mathematics, Vol. 601, 2013, American Mathematical Society.

Published Version DOI


  • "Measuring the Financial Sophistication of Households" (with J. Campbell and P. Sodini), American Economic Review 99 (2), pp. 393-398, May 2009.

Published Version DOI

Appendix


  • "Fight or Flight? Portfolio Rebalancing by Individual Investors" (with J. Campbell and P. Sodini), Quarterly Journal of Economics 124 (1), pp. 301-348, February 2009.

Published Version DOI

Appendix


  • "Fractals" Entry in the New Palgrave Dictionary of Economics, 2008.


  • "Multifrequency Jump-Diffusions: An Equilibrium Approach" (with A. Fisher), Journal of Mathematical Economics 44 (2), pp. 207-226, January 2008.

Published Version DOI


  • "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes" (with J. Campbell and P. Sodini), Journal of Political Economy 115 (5), pp. 707-747, October 2007 (lead article).

Published Version DOI

Appendix


  • "Multifrequency News and Stock Returns" (with A. Fisher), Journal of Financial Economics 86 (1), pp. 178-212, October 2007.

Published Version DOI


  • "Idiosyncratic Production Risk, Growth and the Business Cycle" (with G. M. Angeletos), Journal of Monetary Economics 53 (6), 1095-1115, September 2006 (lead article).

Published Version DOI


  • "Volatility Comovement: A Multifrequency Approach" (with A. Fisher and S. Thompson), Journal of Econometrics 131 (1-2), pp. 179-215, March 2006.

Published Version DOI


  • "Incomplete-Market Dynamics in a Neoclassical Production Economy" (with G. M. Angeletos), Journal of Mathematical Economics 41 (4-5), pp. 407-438, August 2006 (lead article).

Published Version DOI


  • "Financial Innovation, Market Participation and Asset Prices" (with M. Gonzalez-Eiras and P. Sodini), Journal of Financial and Quantitative Analysis 39 (33), pp. 431-459, September 2004 (lead article).

Published Version DOI


  • "How to Forecast Long-Run Volatility: Regime-Switching and the Estimation of Multifractal Processes" (with A. Fisher), Journal of Financial Econometrics 2 (1), pp. 49-83, Spring 2004.

Published Version DOI


  • "Behavioral Heterogeneity and the Income Effect" (with E. Comon), Review of Economics and Statistics 85 (3), pp. 653-669, August 2003.

Published Version DOI


  • "Multifractality in Asset Returns: Theory and Evidence" (with A. Fisher), Review of Economics and Statistics 84 (3), pp. 381-406, August 2002 (lead article).

Published Version DOI


  • "Forecasting Multifractal Volatility" (with A. Fisher), Journal of Econometrics 105 (1), pp. 27-58, November 2001.

Published Version DOI


  • "Incomplete Markets and Volatility", Journal of Economic Theory 98 (2), pp. 295-338, June 2001.

Published Version DOI


  • "Heterogeneous Probabilities in Complete Asset Markets" (with J. M. Grandmont and I. Lemaire), Advances in Mathematical Economics 1, pp. 3-15, 1999 (Springer Verlag, S. Kusuoka and T. Maruyama Eds). Japanese translation in Mita Journal of Economics, Tokyo 1999.

Published Version DOI