Working Papers
Dynamic Urban Economics, with Brian Greaney and Andrii Parkhomenko, February 2025
[bibtex]
The Commercial Real Estate Ecosystem, with Ralph Koijen and Neel Shah, February 2025
[bibtex]
An Alpha in Affordable Housing?, with Sven Damen and Matthijs Korevaar, January 2025
[bibtex]
Manufacturing Risk‐free Government Debt, with Zhengyang Jiang, Hanno Lustig, and Mindy Xiaolan, January 2025
[bibtex]
Rent Guarantee Insurance, with Boaz Abramson, July 2024
[bibtex]
Bond Convenience Yields in the Eurozone Currency Union, with Zhengyang Jiang, Hanno Lustig, and Mindy Xiaolan, January 2024
[bibtex]
Financial and Total Wealth Inequality with Declining Rates, with Daniel Greenwald, Matteo Leombroni, and Hanno Lustig, August 2023
[bibtex]
Can Monetary Policy Create Fiscal Capacity?, with Vadim Elenev, Tim Landvoigt, and Patrick Shultz, July 2022
[bibtex]
Quantifying Treasury Investor Optimism, with Zhengyang Jiang, Hanno Lustig, and Mindy Xiaolan, January 2021
[bibtex]
- Response to Cochrane's blog posts
Foreign Ownership of U.S. Safe Assets: Good or Bad? with Jack Favilukis and Sydney Ludvigson, January 2016, legacy paper
[bibtex]
Can Housing Collateral Explain Long-Run Swings in Asset Returns?, with Hanno Lustig, December 2006, legacy paper
2009 Q-Group Research Award
[bibtex]
- separate appendix
Publications
Understanding Rationality and Disagreement in House Price Expectations, with Zigang Li and Wang Renxuan,
Review of Financial Studies, 2025, forthcoming
[bibtex]
Working From Home and the Office Real Estate Apocalypse, with Arpit Gupta and Vrinda Mittal,
American Economic Review, 2025, forthcoming
Yuki Arai Prize – First prize
[bibtex]
Exorbitant Privilege Gained and Lost: Fiscal Implications, with Zefeng Chen, Zhengyang Jiang, Hanno Lustig, and Mindy Xiaolan,
Journal of Political Economy, 2024, forthcoming
[SSRN] [bibtex]
What Drives Variation in the Debt/Output Ratio? The Dogs that Did Not Bark, with Zhengyang Jiang, Hanno Lustig, and Mindy Xiaolan,
Journal of Finance, August 2024, vol 79 (4), pp. 2603‐2655.
[SSRN] [data] [bibtex]
The U.S. Public Debt Valuation Puzzle, with Zhengyang Jiang, Hanno Lustig, and Mindy Xiaolan,
Econometrica, July 2024, vol. 92 (4), pp. 1309-1347.
[SSRN] [data] [appendix] [bibtex]
Aggregate Lapsation Risk, with Ralph Koijen and Hae Kang Lee,
Journal of Financial Economics, May 2024, vol. 155, 103819.
[SSRN] [data] [bibtex]
Identifying the Benefits from Home Ownership: A Swedish Experiment, with Paolo Sodini, Roine Vestman, and Ulf von Lilienfeld‐Toal,
American Economic Review, December 2023, vol. 113 (12), pp. 3173–3212.
[SSRN] [data] [appendix] [bibtex]
Converting Brown Office to Green Apartments, with Arpit Gupta and Candy Martinez,
Brookings Hamilton Project paper, November 2023.
[SSRN] [bibtex]
Fiscal Capacity: An Asset Pricing Perspective, with Zhengyang Jiang, Hanno Lustig, and Mindy Xiaolan,
Annual Review of Financial Economics, November 2023, vol. 15.
[SSRN] [bibtex]
Machine‐Learning the Skill of Mutual Fund Managers, with Ron Kaniel, Zihan Lin, and Markus Pelger,
Journal of Financial Economics, October 2023, vol. 150 (1), pp. 94‐138.
[SSRN] [data] [bibtex]
Measuring U.S. Fiscal Capacity using Discounted Cash Flow Analysis, with Zhengyang Jiang, Hanno Lustig, and Mindy Xiaolan,
Brookings Papers on Economic Activity, Spring 2023, pp. 157‐209.
[SSRN] [data] [bibtex]
Affordable Housing and City Welfare, with Jack Y Favilukis and Pierre Mabille,
Review of Economic Studies, January 2023, vol. 90 (1), pp. 293‐330.
[SSRN] [data] [bibtex]
The Remote Work Revolution: Implications for Real Estate and Urban Economics,
Real Estate Economics, January 2023, vol. 57 (1), pp. 7‐48.
Lead article
[SSRN] [bibtex]
Flattening the Curve: Pandemic‐Induced Revaluation of Real Estate, with Arpit Gupta, Vrinda Mittal, and Jonas Peeters,
Journal of Financial Economics, November 2022, vol. 146 (2), pp. 594‐636.
Editor’s choice article
Southern Finance Association Best Paper Prize
[SSRN] [data] [bibtex]
Take the Q Train: Measuring the Returns from Infrastructure Investment from Real Estate, with Arpit Gupta and Constantine Kontokosta,
Journal of Urban Economics, May 2022, vol. 129, 103422.
[SSRN] [bibtex]
Can the Covid Bailouts Save the Economy, with Vadim Elenev and Tim Landvoigt,
Economic Policy, vol 37 (110), April 2022, pp. 277‐330.
Marshall Blume Award – honorable mention
[SSRN] [bibtex]
Valuing Private Equity Strip by Strip, with Arpit Gupta,
Journal of Finance, December 2021, vol 76 (7), pp. 3255‐3307.
2018 Yuki Arai Prize – First prize
[SSRN] [data] [appendix] [bibtex]
- updated dividend and gain strip data
Out-of-town Home Buyers and City Welfare, with Jack Favilukis,
Journal of Finance, October 2021, vol. 76 (5), pp. 2577‐2638.
[SSRN] [data] [bibtex]
Real and Private Value Assets, with William Goetzmann and Christophe Spaenjers,
Review of Financial Studies, August 2021, vol. 34 (9), pp. 3497‐3526.
[SSRN] [bibtex]
A Macroeconomic Model with Financially Constrained Producers and Intermediaries, with Vadim Elenev and Tim Landvoigt,
Econometrica, May 2021, vol. 89 (3), pp. 1361‐1418.
[SSRN] [data] [appendix] [bibtex]
Financial Fragility with SAM?, with Daniel Greenwald and Tim Landvoigt,
Journal of Finance, April 2021, vol. 76(2), pp. 651-706.
[SSRN] [data] [appendix] [bibtex]
Firm Volatility in Granular Networks, with Bryan Kelly and Hanno Lustig,
Journal of Political Economy, November 2020, vol. 128 (11)
[SSRN] [data] [bibtex]
New Methods in the Cross-Section of Stock Returns, with G. Andrew Karolyi
Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 1879–1890
[bibtex]
Combining Life and Health Insurance, with Ralph. Koijen,
Quarterly Journal of Economics, 2020, vol. 135, pp. 913‐958.
2019 TIAA Paul A. Samuelson Award, Winner
[SSRN] [data] [bibtex]
Why Are REITS Currently So Expensive?
Real Estate Economics, Spring 2019, vol. 47(1), pp. 18‐65.
Lead article
2019 Edwin Mills Best Paper Award
[SSRN] [bibtex]
- ETF.com
Are Mutual Fund Managers Paid For Investment Skill?, with Markus Ibert, Ron Kaniel, and Roine Vestman,
Review of Financial Studies, February 2018, Vol. 31(2), pp. 715-772
[SSRN] [data] [bibtex]
- Harvard Law Review
- VoxEU
What To Do About The GSEs, with Matthew Richardson and Lawrence White
Annual Review of Financial Economics, November 2017, Vol. 9, pp. 21-41
[SSRN] [bibtex]
The Cross-Section and Time Series of Stock and Bond Returns, with Ralph Koijen and Hanno Lustig
Journal of Monetary Economics, June 2017, Vol. 88, pp. 50-69
[SSRN] [appendix] [bibtex]
ESBies: Safety in the Tranches, with Markus Brunnermeier, Sam Langfield, Marco Pagano, Ricardo Reis, and Dimitri Vayanos
Economic Policy, April 2017, Vol. 32, pp. 175-219
[SSRN] [appendix] [bibtex]
Macroeconomic Implications of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium, with Jack Favilukis and Sydney Ludvigson
Journal of Political Economy, February 2017, Vol. 125 (1), pp. 140-223
Utah Winter finance Conference Best Paper Award 2010
[SSRN] [data] [bibtex]
Phasing Out the GSEs, with Vadim Elenev and Tim Landvoigt,
Journal of Monetary Economics, August 2016, Vol. 81, pp. 111-132
[SSRN] [appendix] [bibtex]
Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees, with Bryan Kelly and Hanno Lustig,
American Economic Review, June 2016, Vol. 106 (6), pp. 1278-1319
JP Morgan Best Paper Award, WFA 2012
2014 Glucksman Institute Research Prize - First Prize
[SSRN] [data] [appendix] [bibtex]
Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice, with Ralph Koijen and Motohiro Yogo
Journal of Finance, April 2016, Vol. 71 (2), pp. 957-1010
Netspar Grant 2010
Utah Winter finance Conference Best Paper Award 2012
Q-group Best Paper Prize (3rd prize) 2013
[SSRN] [bibtex]
Breaking the Sovereign-Bank Diabolic Loop: A Case for ESBies, with Markus Brunnermeier, Luis Garicano, Philip Lane, Marco Pagano, Ricardo Reis, Tano Santos, David Thesmar, and Dimitri Vayanos,
American Economic Review P&P, May 2016, Vol. 106 (5), pp. 1-5
[SSRN] [appendix] [bibtex]
A Rational Theory of Mutual Funds' Attention Allocation, with Marcin Kacperczyk and Laura Veldkamp,
Econometrica, March 2016, vol. 84(2), pp. 571-626
[SSRN] [appendix] [bibtex]
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications, with Bernard Herskovic, Bryan Kelly, and Hanno Lustig,
Journal of Financial Economics, February 2016, vol. 119(2), pp. 249-283
Lead article
[SSRN] [bibtex]
- updated CIV data
Time-Varying Fund Manager Skill, with Marcin Kacperczyk and Laura Veldkamp,
Journal of Finance, August 2014, vol. 69(4), pp. 1455-1484
Lead article
Q-group Research Grant, 2009
[SSRN] [appendix] [bibtex]
Guaranteed to Fail: Fannie Mae and Freddie Mac and What to Do about Them, with V. Acharya, M. Richardson, and L. White,
Economist Voice, 2013, vol. 10 (1), pp. 15-19
[bibtex]
The Wealth-Consumption Ratio, with Hanno Lustig and Adrien Verdelhan,
Review of Asset Pricing Studies, 2013, vol. 3(1), pp. 38-94
[SSRN] [bibtex]
Predictability of Stock Returns and Cash Flows, with Ralph Koijen,
Annual Review of Financial Economics, December 2011, Vol 3, pp. 467-491
[SSRN] [bibtex]
The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Public Care Aversion from Bequest Motives, with John Ameriks, Andrew Caplin, and Steven Laufer,
Journal of Finance, April 2011, Vol 66(2), pp. 519-561
[SSRN] [appendix] [bibtex]
Technological Change and the Growing Inequality in Managerial Compensation, with Hanno Lustig and Chad Syverson,
Journal of Financial Economics, March 2011, Vol 99(3), pp. 601-627
[SSRN] [bibtex]
Why Has House Price Dispersion Gone up?, with Pierre-Olivier Weill,
Review of Economic Studies, October 2010, Vol. 77 (4), pp. 1567-1606
[SSRN] [data] [appendix] [bibtex]
Long-Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk, with Ralph Koijen, Hanno Lustig, and Adrien Verdelhan,
American Economic Review P&P, May 2010, Vol. 100 (2), pp. 552-556
[appendix] [bibtex]
How Much Does Household Collateral Constrain Regional Risk Sharing?, with Hanno Lustig,
Review of Economic Dynamics, April 2010, Vol. 13(2), pp. 265-294
[SSRN] [bibtex]
- Appendix for non-separable preferences
- Data appendix
Information Acquisition and Under-Diversification, with Laura Veldkamp,
Review of Economic Studies, April 2010, Vol. 77 (2), pp. 779-805
[SSRN] [bibtex]
Mortgage Timing, with Ralph Koijen and Otto van Hemert,
Journal of Financial Economics, August 2009, Vol. 93 (2), pp. 292-324
2007-08 Glucksman Institute Research Prize - First Prize
[SSRN] [bibtex]
Information Immobility and the Home Bias Puzzle, with Laura Veldkamp,
Journal of Finance, June 2009, Vol. 64 (3), pp. 1187-1215
2005 FMA Competitive Paper Award in Investments - First Prize
2006 Glucksman Institute Research Prize - First Prize
[SSRN] [appendix] [bibtex]
The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street, with Hanno Lustig,
Review of Financial Studies, September 2008, Vol. 21(5), pp. 2097-2137
[SSRN] [appendix] [bibtex]
- quarterly data (xls)
- annual data (xls)
Reconciling the Return Predictability Evidence, with Martin Lettau,
Review of Financial Studies, July 2008, Vol. 21(4), pp. 1607-1652
[SSRN] [bibtex]
Learning Asymmetries in Real Business Cycles, with Laura Veldkamp,
Journal of Monetary Economics, May 2006, Vol. 53(4), pp. 753-772
[SSRN] [bibtex]
Inside Information and the Own Company Stock Puzzle, with Laura Veldkamp,
Journal of the European Economic Association P&P, Vol. 4(2-3), April-May 2006
[SSRN] [bibtex]
Stock Market Development and Economic Growth in Belgium, with Frans Buelens and Ludo Cuyvers,
Explorations in Economic History, January 2006, Vol. 43 (1), pp. 13-38
[SSRN] [bibtex]
Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective, with Hanno Lustig,
Journal of Finance, June 2005, Vol. 60 (3), pp.1167-1219
Nominated for the 2005 Smith Breeden Prize for the Best Paper in the Journal of Finance
[SSRN] [bibtex]
- annual data file (xls, updated August 2005)
- quarterly data file (xls, updated August 2005)
- data appendix (pdf)
List of Books, Book Chapters, and Conference Volume Contributions
Exercises in Recursive Macroeconomic Theory, 1st Edition, with Lars Ljungqvist, Thomas Sargent, and Pierre-Olivier Weill
Annuity Valuation Given Long-term Care Concerns and Bequest Motives, with John Ameriks, Andrew Caplin, and Steven Laufer, in Recalibrating Retirement Spending and Saving, John Ameriks and Olivia S. Mitchell, Editors, Pension Research Council, September 2008
Financial Economics, Market Efficiency and Return Predictability, with Ralph Koijen, Encyclopedia of Complexity & System Science, Robert Meyers (Ed.), 2009, pp. 3448-3456
Mortgage Origination and Securitization in the Financial Crisis, with Dwight Jaffee, Anthony Lynch, and Matthew Richardson, in Restoring Financial Stability: How to Repair a Failed System, John Wiley and Sons, 2009, edited by V. Acharya and M. Richardson, Chapter 1.
What to Do About the Government Sponsored Enterprises?, with Dwight Jaffee, Matthew Richardson, Lawrence White, and Robert Wright, in Restoring Financial Stability: How to Repair a Failed System, John Wiley and Sons, 2009, edited by V. Acharya and M. Richardson, Chapter 4.
Towards a New Architecture for U.S. Mortgage Markets: The Future of the Government Sponsored Enterprises, with Viral Acharya, Stanley Kon, Matthew Richardson, Sabri Oncu, and Lawrence White, in Regulating Wall Street, John Wiley and Sons, 2010, edited by V. Acharya, T. Cooley, M. Richardson, and I. Walter.
Consumer Financial Protection, with Thomas Cooley, Xavier Gabaix, Samuel Lee, Thomas Mertens, Vicki Morowitz, Shelle Sanatana, Anjolein Schmeits, and Robert Whitelaw, in Regulating Wall Street, John Wiley and Sons, 2010, edited by V. Acharya, T. Cooley, M. Richardson, and I. Walter.
Guaranteed To Fail: Freddie, Fannie, and the Debacle of U.S. Mortgage Finance, V. Acharya, M. Richardson, S. Van Nieuwerburgh, and L. White, Princeton University ress, March 2011
Reforming the U.S. Housing Finance System: A Proposal, with Thomas Cooley, Xavier Gabaix, Samuel Lee, Thomas Mertens, Vicki Morowitz, Shelle Sanatana, Anjolein Schmeits, and Robert Whitelaw, Viral Acharya, Matthew Richardson, and Lawrence White, in Financial Development Report 2011, World Economic Forum, Chapter 1.4
ESBies: A realistic reform of Europe's financial architecture, with Markus Brunnermeier, Luis Garicano, Philip Lane, Marco Pagano, Ricardo Reis, Tano Santos, David Thesmar, and Dimitri Vayanos Vayanos in The Future of Banking, Ed. T. Beck
The Research Agenda: Stijn Van Nieuwerburgh on Housing and the Macroeconomy, in Economic Dynamics Newsletter, vol. 13 (2), April 2012
International Capital Flows and House Prices: Theory and Evidence, Jack Favilukis, David Kohn, and Sydney Ludvigson, in Housing and the Financial Crisis, NBER, Cambridge, MA. Chapter 8, 2013
Judging the Quality of Survey Data by Comparison with "Truth" as Measured By Administrative Records: Evidence from Sweden, with Ralph Koijen and Roine Vestman, in Improving the Measurement of Consumption Expenditures, NBER Book Series in Income and Wealth, University of Chicago Press, edited by C. Carroll, T. Crossley, and J. Sabelhaus, 2015
- SSRN paper
Housing, Finance, and the Macroeconomy, with Morris Davis, in Handbook of Regional and Urban Economics, Volume 5, Chapter 12, 2015
A review of real estate and infrastructure investments by the Norwegian Government Pension Fund Global, with Richard Stanton and Leo de Bever,
The Infrastructure Finance Challenge, NYU Stern faculty team, ed. I. Walter, Open Book Publishers, December 2016
Regulating Wall Street: CHOICE Act vs. Dodd-Frank, NYU Stern faculty team, Eds. M. Richardson, K. Schoenholtz, B. Tuckman, and L. White, March 2017
Johannes Stroebel: Winner of the 2023 Fischer‐Black prize,
Journal of Finance, vol. 78 (5), pp. 2413‐2415, October 2023; a brief summary of Prof. Stroebel’s main contributions to the finance literature
The effect of working from home on real estate prices in the US ‐ BFRF Interview,
Belgian Finance Review, December 2023
The Future of NYC Real Estate Workshop White Paper, with Chris Byrns,
Columbia Business School The Hub, March 2024
Where Are We on the Urban Doom Loop?, with Arpit Gupta,
Vital City, June 2024
What It Takes to Kick Off Office To Residential Conversions, with Arpit Gupta,
Vital City, June 2024