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Housing, finance and the macroeconomy
Davis, Morris A.; Nieuwerburgh, Stijn van - 2014
Persistent link: https://www.econbiz.de/10010391842
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Attention allocation over the business cycle
Kacperczyk, Marcin; Nieuwerburgh, Stijn van; Veldkamp, Laura - 2009
Persistent link: https://www.econbiz.de/10003897450
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The cross-section and time series of stock and bond returns
Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2010
"We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in...
Persistent link: https://www.econbiz.de/10003933912
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Information acquisition and under-diversification
Nieuwerburgh, Stijn van; Veldkamp, Laura - 2008
"If an investor wants to form a portfolio of risky assets and can exert effort to collect information on the future … value of these assets before he invests, which assets should he learn about? The best assets to acquire information about … are ones the investor expects to hold. But the assets the investor holds depend on the information he observes. We build a …
Persistent link: https://www.econbiz.de/10003690149
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Information immobility and the home bias puzzle
Nieuwerburgh, Stijn van; Veldkamp, Laura - 2007
Persistent link: https://www.econbiz.de/10003542111
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The cross-section and time-series of stock and bond returns
Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2012
Persistent link: https://www.econbiz.de/10009577595