WORKING PAPERS

"The Joint Cross Section of Stocks and Options" (with Andrew Ang and Nusret Cakici).

"Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns" (with Robert Engle and Yi Tang).

"Resurrecting the Conditional CAPM with Dynamic Conditional Correlations" (with Robert Engle).

"The Conditional CAPM Explains the Value Premium" (with Robert Engle).

"Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?" (with Robert Whitelaw and Nusret Cakici).

"Unusual News Events and the Cross-Section of Stock Returns" (with Anna Scherbina and Yi Tang).

"Liquidity Shocks and Stock Market Reactions" (with Lin Peng, Yannan Shen, and Yi Tang).

"Investing in Stock Market Anomalies" (with Stephen Brown and Ozgur Demirtas).

"Does Aggregate Riskiness Predict Future Economic Downturns?" (with Nusret Cakici and Fousseni Chabi-Yo).

"A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium" (with Nusret Cakici and Fousseni Chabi-Yo).

"Risk, Uncertainty, and Expected Returns" (with Hao Zhou).

"Systematic and Idiosyncratic Risk in the Cross-Section of Price Target Expected Returns" (with Scott Murray)

"Implied Volatility Spreads and Expected Market Returns" (with Yigit Atilgan and K. Ozgur Demirtas).