PROFESSIONAL SERVICE

Associate Editor: American Economic Review, 2008-present.  
Associate Editor: Journal of Business and Economic Statistics, 2006-present.  
Nominating committee: American Finance Association, 2004
Program committee: American Finance Association, 2005, 2009.   


PUBLICATIONS  

“Macro Factors in Bond Risk Premia,” (with Serena Ng).  Forthcoming in The
Review of Financial Studies.
  
“Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing
Models” (with Xiaohong Chen). Forthcoming in The Journal of Applied Econometrics.   

“Measuring and Modeling Variation in the Risk-Return Tradeoff” (with Martin
Lettau). Forthcoming in The Handbook of Financial Econometrics, edited by Yacine Aït-
Sahalia and Lars Peter Hansen.  

“Euler Equation Errors,” (with Martin Lettau). The Review of Economic Dynamics.
2009 12(2): 255-283.   

“The Declining Equity Premium: What Role Does Macroeconomic Risk Play?”
(with Martin Lettau and Jessica A. Wachter).  The Review of Financial Studies. 2008
21(4): 1653-1687.
  
“Discussion of Housing and Consumer Behavior,” in the proceedings of Housing,
Housing Finance, and Monetary Policy, a symposium sponsored by the Federal
Reserve Bank of Kansas City, August 30-September 1, 2007, Jackson Hole,
Wyoming.  
   
“The Empirical Risk-Return Relation: A Factor Analysis Approach” (with Serena
Ng), The Journal of Financial Economics, 2007, 83: 171-222.  

“Expected Returns and Expected Dividend Growth” (with Martin Lettau), The
Journal of Financial Economics, 2005, 76: 583-626.   

“tay’s as good as cay: Reply,” (with Martin Lettau), Finance Research Letters, March
2005, 2(1): 15-22.  

“Consumer Confidence and Consumer Spending,” Journal of Economic Perspectives,
Spring 2004, 18(2): 29-50.
  
“Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect
on Consumption” (with Martin Lettau), American Economic Review, March 2004,
94(1): 276-299.

“Monetary Policy Transmission Through the Consumption-Wealth Channel” (with
Charles Steindel and Martin Lettau) FRBNY Economic Policy Review, May 2002, 117-
133.

"Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of
the q Theory of Investment" (with Martin Lettau) Journal of Monetary Economics,
January 2002, 49: 31-66.

“Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-
Varying” (with Martin Lettau) Journal of Political Economy, December 2001, 109(6):
1238-1287. Reprinted in Financial Markets and the Real Economy, Volume 18 of The
International Library of Critical Writings in Financial Economics, edited by John H.
Cochrane. Northampton, MA: Edward Elgar Publishing, Inc., 2006.  
  
“Elasticities of Substitution in Real Business Cycle Models with Home Production.”
(with John Y. Campbell) Journal of Money, Credit, and Banking, November 2001,
33(4): 847-875.

“Does Buffer Stock Saving Explain the Smoothness and Excess Sensitivity of
Consumption?” (with Alexander Michaelides) American Economic Review, June 2001,
91(3): 631-647.

“Consumption, Aggregate Wealth, and Expected Stock Returns.” (with Martin
Lettau) Journal of Finance, June 2001, 56(3): 815-849. Reprinted in Financial Markets
and the Real Economy, Volume 18 of The International Library of Critical Writings in
Financial Economics, edited by John H. Cochrane. Northampton, MA: Edward Elgar
Publishing, Inc., 2006.

“Approximation Bias in Linearized Euler Equations.” (with Christina Paxson) The
Review of Economics and Statistics, May 2001, 83(2): 242-56.

“Consumption and Credit: A Model of Time-Varying Liquidity Constraints.” The
Review of Economics and Statistics, August 1999, 81(3): 434-47.

“How Important is the Stock Market Effect on Consumption?” (with Charles
Steindel) FRBNY Economic Policy Review, July 1999, 5(2): 29-51.

“The Channel of Monetary Transmission to Demand: Evidence from the Market for
Automobile Credit.” Journal of Money, Credit, and Banking, August 1998, 30(3): 366-
83.

“Does Consumer Confidence Forecast Household Expenditure? A Sentiment Index
Horse Race.” (with Jason Bram) FRBNY Economic Policy Review, June 1998, 4(2): 59-
78.

“The Macroeconomic Effects of Government Debt in a Stochastic Growth Model.”
Journal of Monetary Economics 1996, 38: 25-45.