higher than justified by investors' own subsequent short-term return expectations. This excess volatility in forward … expectations helps account for excess volatility in prices, inelastic demand for equities, and stylized facts about the equity term …

feature higher risk free rates, lower risk premiums on fully diversified and concentrated assets, less capital accumulation …, yet higher consumption and welfare. Exposure to undiversified firm risk can explain approximately 40% of the level and 20 …% of the volatility of the equity premium. A targeted subsidy that decreases diversification improves welfare by increasing …

macroeconomic states. Data-driven P-Tree models reveal that idiosyncratic volatility and earnings-to-price ratio interact to drive … cross-sectional return variations in U.S. equities; market volatility and inflation constitute the most critical regime … pricing individual stocks and test portfolios, while delivering transparent trading strategies and risk-adjusted investment …

Portfolio optimization focuses on risk and return prediction, yet implementation costs critically matter. Predicting …

climate risk beliefs. We exploit two types of idiosyncratic belief shocks: (i) instances when fund advisers experience local … hedge portfolios for aggregate unemployment and house price risk …