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Christian Goulding

Research Interests: asset pricing (theoretical, empirical, quantitative), decisions under uncertainty, economics of information

Links: CV, Job Market Paper

My research interests fall broadly into three areas of financial economics: (a) asset pricing (theoretical, empirical, and quantitative); (b) decisions under uncertainty; and (c) economics of information. My research interests in asset pricing span the development of new theoretical models; empirical testing, particularly in the cross section; and quantitative explanations for regularities in asset prices, including consumption-based asset pricing models.

Working Papers:

  1. Opposite Sides of a Skewed Bet: Implications and Evidence for Forecast Dispersion and Returns
    (Job Market Paper)

    I present theory and evidence regarding the impacts of return skewness and dispersion in analysts' forecasts on average stock returns. Prices that induce investors to take opposite sides of a skewed risk deviate from fundamental value on average in the direction of skewness. The magnitude of such deviations depends on investors' confidence in fundamentals. Dispersion in analysts' forecasts tends to reduce that confidence, requiring larger deviations to induce offsetting trades. Consistent with the theory's equilibrium implications, I show that skewness and forecast dispersion have a joint impact, yielding an average return gap of 1.61% monthly (19.3% annualized) between stocks in the 5th and 95th percentiles by skewness and dispersion. I also show that forecast dispersion has no marginal impact without skewness and that higher risk or risk aversion is associated with a deepening of their joint effect. These otherwise anomalous discoveries comprise new significant cross-sectional features of stock returns.

  2. Preference Irregularities and Asset Pricing Regularities (with Mark Clements) [Abstract]
  3. Skewness, Forecast Dispersion, and Pricing [Abstract]

Refereed Publications:

  1. Detection and Identification of an Unobservable Change in the Distribution of a Markov-Modulated Random Sequence (with S. Dayanik), IEEE Transactions on Information Theory, 2009 [Abstract]
  2. Bayesian Sequential Change Diagnosis (with S. Dayanik and H. V. Poor), Mathematics of Operations Research, 2008 [Abstract]
  3. Joint Detection and Identification of an Unobservable Change in a Random Sequence (with S. Dayanik and H.V. Poor), Information Science and Systems, 2007 [Abstract]

Research in Progress:

  1. Emergence of Fundamental Uncertainty in Coordination around Radical Innovation [Abstract]
  2. Real Decisions as a Resolution of the Grossman-Stiglitz No-Equilibrium Paradox [Abstract]
  3. Opposite Sides of a Skewed Bet: Implications and Evidence for Excess Volatility

Research Assistantships:

  • Inattention to the Stock Market, Leverage, Q Theory; Prof. Andrew B. Abel
  • Corporate Finance, Feedback Effects, Synergies; Prof. Alex Edmans
  • Asset Pricing, Ambiguity Aversion; Prof. Philipp Illeditsch
  • Asset-Backed Securities; Prof. Luke Taylor