Publications

Book Chapters:
  • "The stock size and the predictability of returns" (co-authored with Al. Semenov). In Statistical Mechanics and Random Walks: Principles, Processes and Applications, A. Skogseid and V. Fasano (Ed.), New York, Nova Science Publishers, Inc., 2012, pp. 509-544.
Articles in Refereed Journals:
  • "Measuring the stock's factor beta and identifying risk factors under market inefficiency", The Quarterly Review of Economics and Finance, Vol. 80 (May 2021), 635-649.
  • "Background risk in consumption and the equity risk premium", Review of Quantitative Finance and Accounting, Vol. 48, Issue 2 (February 2017), 407-439.
  • "The small-cap effect in the predictability of individual stock returns", International Review of Economics and Finance, Vol. 38 (July 2015), 178-197.
  • "Is consumption risk priced in the stock market?", Journal of Empirical Finance, Vol. 26, Issue C (March 2014), 112-130.
  • "Behavioral heuristics and financial modelling", Editorial, Journal of Stock & Forex Trading, Vol. 1, Issue 3 (July 2012).
  • "Uninsurable risk and financial market puzzles" (co-authored with P. Basu and K. Wada), Journal of International Money and Finance, Vol. 30, Issue 6 (October 2011), 1055-1089.
  • "Departures from rational expectations and asset pricing anomalies", Journal of Behavioral Finance, Vol. 10, Issue 4 (December 2009), 234-241.
  • "Risk factor beta conditional Value-at-Risk", Journal of Forecasting, Vol. 28, Issue 6 (September 2009), 549-558.
  • "Estimation of the consumption CAPM with imperfect sample separation information", International Journal of Finance and Economics, Vol. 13, Issue 4 (October 2008), 333-348.
  • "Historical simulation approach to the estimation of stochastic discount factor models", Quantitative Finance, Vol. 8, Issue 4 (June 2008), 391-404.
  • "Testing the random walk hypothesis through robust estimation of correlation", Computational Statistics & Data Analysis, Vol. 52, Issue 5 (January 2008), 2504-2513.
  • "Disentangling risk aversion and intertemporal substitution through a reference level" (co-authored with R. Garcia and É. Renault), Finance Research Letters, Vol. 3, Issue 3 (September 2006), 181-193 (winner of the Stephen A. Ross Best Paper Award for the best article published in Finance Research Letters in 2006).
  • "The measure of relative risk aversion in the consumption CAPM with power utility", Applied Financial Economics Letters (from 2009 incorporated into Applied Economics Letters), Vol. 2, Issue 2 (March 2006), 111-114.