Working Papers

  • Gurdip Bakshi and John Crosby and Xiaohui Gao. 2017. Crossing a Rubicon  into Money Management Realities: Performance Measurement When Actively Managed Funds Follow Opaque Strategies. [PDF FILE]
  • Gurdip Bakshi and Wei Zhou. 2017. The Fallacy of the Negative Correlation Condition.
  • Gurdip Bakshi and John Crosby, ``Cross-currency Consistency, Three- part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies.”  
  • Gurdip Bakshi, Xiaohui Gao, and George Panayotov.  A Theory of Dissimilarity Between Stochastic Discount Factors (2016). To be presented at AFA 2018. [PDF]
  • Gurdip Bakshi, Xiaohui Gao, and Jinming Xue. An Approach to Measure the Expectation of Generic Functions of the Market Return. 2016. Revised 2017. [PDF]
  • Gurdip Bakshi and John Crosby. The Multiplicative Wedge Approach to Incomplete Markets and the Trifecta of Exchange Rate Puzzles (under revision, 2016).
  •  Gurdip Bakshi and Fousseni Chabi-Yo, `` New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models.” (under revision), Revise and resubmit, Journal of Financial and Quantitative Analysis. (revised August 2017). [PDF]
  • Gurdip Bakshi, Fousseni Chabi-Yo, and Xiaohui Gao. An Inquiry into the Nature and Sources of Variation in the Expected Excess Return of a Safe Asset (under revision) [ PDF File]
  • Gurdip Bakshi, and Charles Cao, ``Individual Equity Option Pricing  Models.” Revise and resubmit, Management Science.
  • Gurdip Bakshi, George Panayotov, and Georgios Skoulakis , ``The Baltic Dry  Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity.
  • Vikas Agarwal, Gurdip Bakshi, and Joop Huij, `` Do Higher-Moment Equity Risks Explain Hedge Fund Returns.”
  • Gurdip Bakshi, and Dilip Madan, ``Investor Heterogeneity and the Non-Monotonicity of  the Aggregate Marginal Rate of Substitution in Market Index.”
  • Gurdip Bakshi, and Nengjiu Ju, ``Is the Present-Value Relation Destined for Empirical Failures.”
  • Gurdip Bakshi, Dilip Madan, and Frank Zhang, ``The Role of Recovery in (link is external) Default Risk Models: Empirical Comparisons and Implied Recovery (link is external)Rates(link is external)."
  • Gurdip Bakshi and Zhiwu Chen, ``Asset Pricing Without Consumption or Market Portfolio Data.”
  • Gurdip Bakshi and Zhiwu Chen, ``Preferred Habitat Theory of the Term Structure of Interest Rates.”