and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide …

-level equity portfolios. An application of the theory to the empirical results shows (a) large predicted levels of risky asset …

. After a negative macroeconomic shock, relatively risk tolerant investors sell risky assets while more risk averse investors … risk after a negative macroeconomic shock and lower exposure after a positive shock …

empirical proxy of an aggregate shock to the cost of equity issuance, which we interpret as a financial shock. We show that this … shock captures systematic risk, and that exposure to this shock helps price the cross section of stock returns including … book-to-market, investment, and size portfolios. We propose a dynamic investment-based model with stochastic equity …

The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability …

We propose an empirical implementation of the consumption-investment problem using the martingale representation … simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the …