This paper solves numerically the intertemporal consumption and portfolio choice problem of an infinitely-lived investor who faces a time-varying equity premium.

In this paper, we analyze how large institutions differ from other investors and the implications that these differences have for stock returns, market liquidity, and corporate governance. We find that large institutional investors -- a category including all managers with greater than $100...

If household portfolios are constrained by borrowing and short-sales restrictions, or by fixed costs of participating in risky asset markets, then alternative retirement savings systems may affect household welfare by relaxing these constraints. This paper uses a calibrated partial-equilibrium...

In this paper we closely exemine the financial events following the Mexican peso devaluation to uncover new lesons about the nature of financial crises.