Publications

* denotes co-author presentation

Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets (with Scott Cederburg and Michael S. O'Doherty), Journal of Financial Economics, 2022

Finalist for the 2022 TIAA Paul A. Samuelson Award for Outstanding Scholarly Writing on Lifelong Financial Security 

Presentations:  Bluemetric Wealth Engineering (2021), Paris December Finance Meeting (2020), Florida International University (2020*), Rutgers University (2020*)

Coverage: Advisor Perspectives (October 2, 2023), Forbes (January 23, 2021), Harvard Law School Forum on Corporate Governance (December 13, 2021), Macro Hive (July 14, 2021), MarketWatch (July 9, 2020), The Scientific Investor Blog (February, 2023)

We characterize the distribution of long-term equity returns based on the historical record of stock market performance in a broad cross section of 39 developed countries over the period from 1841 to 2019. Our comprehensive sample mitigates concerns over survivor and easy data biases that plague other work in this area. A bootstrap simulation analysis implies substantial uncertainty about long-horizon stock market outcomes, and we estimate a 12% chance that a diversified investor with a 30-year investment horizon will lose relative to inflation. The results contradict the conventional advice that stocks are safe investments over long holding periods.

Working Papers

Beyond the Status Quo: A Critical Assessment of Lifecycle Investment Advice (with Scott Cederburg and Michael S. O'Doherty)

Best Paper Award, Michigan State University FCU Conference on Financial Institutions and Investments (2023)

Presentations: Eastern Finance Association Annual Meeting (2024, scheduled), Michigan State University FCU Conference on Financial Institutions and Investments (2023*), Netspar Pension Day (2023*), Emory University (2024, scheduled), Erasmus University Rotterdam School of Management (2023*), Lehigh University (2023*), Louisiana State University (2024*, scheduled), University of Arkansas (2024*, scheduled), University of Arizona (2023*), Utah State University (2023*) 

Coverage: Almost Daily Grant's (December 8, 2023), Bloomberg (December 8, 2023), Bloomberg Television (December 8, 2023), BNN Bloomberg (December 10, 2023; December 12, 2023), Fidelity International (December 20, 2023), Financial Advisor Magazine (December 8, 2023), Fisher Investments (December 15, 2023), MarketWatch (November 22, 2023; December 13, 2023; December 20, 2023), Morningstar (November 25, 2023; December 13, 2023; December 23, 2023), The Rational Reminder Podcast (November 30, 2023; December 21, 2023), The Motley Fool (January 10, 2024), This is Money (December 18, 2023)

We challenge two central tenets of lifecycle investing: (i) investors should diversify across stocks and bonds and (ii) the young should hold more stocks than the old. An even mix of 50% domestic stocks and 50% international stocks held throughout one’s lifetime vastly outperforms age-based, stock-bond strategies in building wealth, supporting retirement consumption, preserving capital, and generating bequests. These findings are based on a lifecycle model that features dynamic processes for labor earnings, Social Security benefits, and mortality and captures the salient time-series and cross-sectional properties of long-horizon asset class returns. Given the sheer magnitude of US retirement savings, we estimate that Americans could realize trillions of dollars in welfare gains by adopting the all-equity strategy.


Long-Horizon Losses in Stocks, Bonds, and Bills (with Scott Cederburg and Michael S. O'Doherty)

Presentations: Midwest Finance Association Annual Meeting (2022),  Paris December Finance Meeting (2023*), UBC Summer Finance Conference (2022*), University of Arizona (2022), Bluemetric Wealth Engineering (2021), University of Iowa (2021*), University of Kansas (2021*), University of Nebraska (2021*) 

Coverage: Quantified Strategies (September 2023), Common Sense Investing with Ben Felix (August 29, 2023), Rational Reminder Podcast (June 29, 2023; October 27, 2022)

We study long-horizon returns of domestic stocks, international stocks, bonds, and bills with a focus on periods with real losses in each asset class. Our dataset construction and estimation methods mitigate survivor bias and offer novel, quantitative evidence on the joint distribution of asset class returns. We find that (i) 30-year real loss probabilities in domestic markets are high for stocks (13%), bonds (27%), and bills (37%); (ii) exchange-rate fluctuations offset local inflation to produce a lower loss probability for international stocks (4%); and (iii) equity losses are driven by negative real dividend growth attributable to declining profit shares.


The Risk-Return Tradeoff: Evidence from a Broad Sample of Developed Markets 

Finalist for the Best Paper Award, Southwestern Finance Association Annual Meeting (2023) 

Presentations: Academic Female Finance Committee (AFFECT) mentoring workshop at the American Finance Association's Annual Meeting (2024, scheduled), Eastern Finance Association Annual Meeting (2023), Southwestern Finance Association Annual Meeting (2023), Financial Management Association Doctoral Student Consortium (2022), UA-ASU Junior Finance Conference (2022), International Risk Management Conference (2022),  Research Symposium on Finance and Economics (2022), World Finance Conference (2022), Emory University (2023), Indiana University (2023), Pennsylvania State University (2023), Texas Christian University (2023), Texas Tech University (2023), University of Arizona (2022)

A positive relation between risk and return is a fundamental tenet of finance. Despite the theoretical prediction of a positive time-series risk-return relation at the market level, empirical evidence is mixed, with studies finding evidence of positive, negative, or insignificant relations. Due to low test power, using small samples can result in negative or insignificant coefficient estimates on the conditional variance—even when the true relation is positive. I pool data across 33 developed countries, covering almost 2,600 years of market returns, which provides the most comprehensive test of the time-series risk-return relation to date. Using the full sample of developed country returns, I confirm the fundamental prediction about risk and return: the estimated mean-variance coefficient is positive with strong statistical significance.  The regressions with individual country returns yield insignificant results with few exceptions, highlighting the need for an expanded sample. 

The Safe Withdrawal Rate: Evidence from a Broad Sample of Developed Markets  (with Scott Cederburg,  Michael S. O'Doherty, and Richard Sias)


Coverage: Advisor.ca (November 28, 2023), CNBC (July 30, 2023), Retirement Ace (January 2, 2023),  Common Sense Investing with Ben Felix (December 22, 2022), Financial Advisor Magazine (February 8, 2023), Globe and Mail (November 14, 2022), MarketWatch (September 30, 2022; November 4, 2022), Morningstar (November 14, 2022), Business News (November 14, 2022), Rational Reminder Podcast (December 1, 2022), Seattle Times (November 19, 2022), Kamp Consulting Blog (October 5, 2022), ThinkAdvisor (October 4, 2022), US Today News (October 1, 2022)

We use a comprehensive new dataset of asset-class returns in 38 developed countries to examine a popular class of retirement spending rules that prescribe annual withdrawals as a constant percentage of the retirement account balance. A 65-year-old couple willing to bear a 5% chance of financial ruin can withdraw just 2.26% per year, a rate materially lower than conventional advice (e.g., the 4% rule). Our estimates of failure rates under conventional withdrawal policies have important implications for individuals (e.g., savings rates, retirement timing, and retirement consumption), public policy (e.g., participation rates in means-tested programs), and society (e.g., elderly poverty rates). 

Target Date Funds Glide Paths  (with David C. Brown)

Presentations: Eastern Finance Association Annual Meeting (2023), Australian National University (2023*), Baylor University (2023*), Claremont McKenna College (2023*), University of Arizona (2022), University of Melbourne (2023*), University of New South Wales (2023*), University of Sydney (2023*), University of Tennessee (2023*)

Target date fund (TDF) providers claim to provide value for investors through glide path design, implementation, and tactical asset allocation. We study TDFs’ tactical asset allocations, or glide path adjustments, and find that those adjustments lead to underperformance. Underperformance is concentrated in TDFs that most actively change their glide paths. We also find that TDFs tend to adjust their equity allocations similarly and that those adjustments are highly correlated with S&P 500 returns. Underperformance is highest during and after periods of correlated adjustments, suggesting TDFs’ tactical asset allocations may be impacting asset prices.

Work in Progress

Strategic Trading and Price Informativeness (with David C. Brown)