Working Papers

1.  A Recovery That We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem  (under revision)

  [Slides of Recent Talk]

2. Gurdip Bakshi and Fousseni Chabi-Yo, `` New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models.” (under revision)

3. Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International
Economies (revised, July 2016)

4. Gurdip Bakshi, Xiaohui Gao, and Alberto Rossi, `` A Better Specified  Asset Pricing Model to Explain the Cross-Section and Time-Series of Commodity Returns.

5. An Inquiry into the Nature and Sources of Variation in the Expected Excess Return of a Long-Term Bond [ PDF File]

4. Gurdip Bakshi, and Charles Cao, ``Individual Equity Option Pricing  Models.” Revise and resubmit, Management Science.

6. Gurdip Bakshi, George Panayotov, and Georgios Skoulakis , ``The Baltic Dry  Index as a Predictor of Global Stock Returns, Commodity Returns,

and Global Economic Activity.

7. Vikas Agarwal, Gurdip Bakshi, and Joop Huij, `` Do Higher-Moment Equity Risks Explain Hedge Fund Returns.”

 8. Gurdip Bakshi, and Dilip Madan, ``Investor Heterogeneity and the Non-Monotonicity of  the Aggregate Marginal Rate of Substitution in Market Index.”

8. Gurdip Bakshi, and Nengjiu Ju, ``Is the Present-Value Relation Destined for Empirical Failures.”

9. Gurdip Bakshi, Dilip Madan, and Frank Zhang, ``The Role of Recovery in  Default Risk Models: Empirical Comparisons and Implied Recovery Rates."

10. Gurdip Bakshi and Zhiwu Chen, ``Asset Pricing Without Consumption or Market Portfolio Data.”

11. Gurdip Bakshi and Zhiwu Chen, ``Preferred Habitat Theory of the Term Structure of Interest Rates.”


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