Working Papers


Works in Progress

  • Economic Correlations (with Yukun Liu)
  • Risk, Return and Diversification in Times of Crisis: (How) Is COVID-19 Different? (with Jakob Boudoukh, Yukun Liu, and Matt Richardson)
  • A Unified Framework for Value and Momentum (with Jakob Boudoukh and Matthew Richardson)
  • Crowding (with Sarah Jiang and Ron Alquist)
  • Who is on the Other Side? (with Antti Ilmanen, Lukasz Pomorski, and Lei Xie)
  • Gross Flows (with Gregor Matvos)
  • Diversification (with Cliff Asness and Lei Xie)
  • Avoiding Terminal Decisions (with Kaushik Vasudevan)