We develop a model of manipulation of indexes, whose components are illiquid in that they require fair valuation based on comparable instruments. Such an index may be susceptible to manipulation since distorting the prices of only a few assets could potentially shift its value. Our model...

Recent developments in the U.S. corporate bond market, as well as recent evidence on the pricing of illiquidity in this market, prompt us to reexamine the pricing of new bonds. The pricing of new investment-grade bonds appears to reflect both initial underpricing and higher liquidity: New bonds...

I study the composition effect of Duffee (2005), which describes the procyclicality of the covariance between consumption growth and stock returns induced by the time-varying fraction of the stock market in the investors' portfolio. I show that the effect of the changing fraction of the stock...

This paper examines Bansal, Fang, and Yaron's (2007) equity capital puzzle, which shows that expanding sectors in the economy do not provide increasing risk-reward compensation to investors who tie up larger fractions of their wealth in those sectors. I show the puzzle for broad definitions of...

The variable cay identified by Lettau and Ludvigson (2001) and reported on their websites contains an error in the calculation of labor income. In particular, the line quot;Otherquot; from NIPA tables is double-counted. This paper documents the error and reviews the potential biases it may...