Global Asset Pricing

Who Holds Sovereign Debt and Why It Matters

with Xiang Fang and Bryan Hardy, 2022.

Working Paper

How Can Asset Prices Value Exchange Rate Wedges?

with Edith X. Liu, 2021

Published Paper

Global Asset Pricing

Annual Review of Financial Economics,
Vol. 3: pp. 435-466, 2011.

Published Paper

Peso Problem

The New Palgrave Dictionary of Economics, 2nd Edition,
Steven N. Durlauf and Lawrence E. Blume, eds,
(Palgrave-Macmillan: New York), 2008.

Published Paper

Trying to Explain Home Bias in Equities and Consumption

Journal of Economic Literature,
June 1999, 37: 571-608.

Published Paper

What Can Explain the Apparent Lack of International Consumption Risk-Sharing?

Journal of Political Economy,
April 1996, 104: 267-297.

Published Paper

Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premium?

(joint with Martin Evans) Review of Financial Studies,
Sept 1995, 8, 709-742.

Published Paper

Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?

(joint with Martin Evans), Journal of Finance,
March 1995, 50: 225-253.

Published Paper

Puzzles in International Financial Markets

in G. Grossman and K. Rogoff, eds.
Handbook of International Economics (North Holland: Amsterdam), 1995.

Published Paper

Trends in Excess Returns in Currency and Bond Markets

(joint with Martin Evans), European Economic Review,
June 1993, 37: 1005-1020.

Published Paper

Peso Problem

in J. Eatwell, M. Milgate, and P. Newman, eds.
The New Palgrave Dictionary of Money and Finance (Macmillan Press, London), 1992.

Published Paper

Should the Holding Period Matter in Tests of the Intertemporal Consumption-based CAPM?

Journal of Monetary Economics,
December 1991, 28: 365-389.

Published Paper

An Empirical Exploration of Exchange Rate Target-Zones: Comment

Carnegie-Rochester Conference on Public Policy, Fall 1991,
35: 67-78.

Published Paper

The Behavior of Eurocurrency Returns Across Different Holding Periods and Monetary Regimes

Journal of Finance,
September 1990, 45: 1211-1236

Published Paper

Inflation Risk and Asset Market Disturbances

Journal of International Money and Finance,
September 1988, 7: 273-288.

Published Paper

Testing the Portfolio Balance Model: A Multi-Lateral Approach

Journal of International Economics, February 1988, 24: 107-127.

Published Paper