future returns appear to be extrapolated from past realized returns. The data also indicate that expected risk and return are …, perceived risk in equity returns is found to be strongly influenced by household investor characteristics, consistent with …

The paper investigates stock return dynamics in an environment where executives have an incentive to maximize their … in a Lucas asset-pricing model with periodic revelations of the firm's underlying profitability. The return process … generated from the model is consistent with a range of financial anomalies observed in the return data: volatility clustering …

We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and … persistent across subsamples, other terms in our decomposition (the composition and return effects and U.S. timing abroad), as …