growth. At early stages of development, the presence of indivisible projects limits the degree of risk …-spreading (diversification) that the economy can achieve. The desire to avoid highly risky investments slows down capital accumulation and the … equilibrium is inefficient because individuals do not take into account their impact on the diversification opportunities of …

We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand … turnover and low leverage, which may lower systematic risk exposures. To examine this possibility, we launch an easily … constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …

capture the proxy effect and risk premia — and an implied mispricing. We find that inflation and nominal interest rates …

-variance framework, we show that residential real estate offers significant diversification benefits relative to investments in stocks … and bonds for US investors. Risk averse investors that hold residential real estate for investment purposes have future … wealth that is less volatile. For most geographical areas in the US, investors have the best diversification benefits from …

-run risk-free discount rates and long-run risk premia are low. We show how the estimated very long-run discount rates are …