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Back to the 1980s or Not? : The Drivers of Inflation and Real Risks in Treasury Bonds

Pflueger, Carolin E. - National Bureau of Economic Research - 2023

I use nominal and real bond risks as new moments to discipline a New Keynesian asset pricing model, where supply shocks, demand shocks, and monetary policy are the fundamental drivers of inflation. Endogenously time-varying risk premia imply that nominal bond risks--as measured by their stock...

Persistent link: https://www.econbiz.de/10014226118

Analyst Bias and Mispricing

Grinblatt, Mark; Jostova, Gergana; Philipov, Alexander - National Bureau of Economic Research - 2023

, profitability disappears once we control for analyst bias …

Persistent link: https://www.econbiz.de/10014248012

Segmented Arbitrage

Siriwardane, Emil N.; Sunderam, Adi; Wallen, Jonathan L. - National Bureau of Economic Research - 2022

We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 29 arbitrage spreads that we study is 21%. These low correlations are inconsistent with canonical...

Persistent link: https://www.econbiz.de/10013435123

Zoomers and Boomers : Asset Prices and Intergenerational Inequality

Farmer, Leland; Farmer, Roger E. A. - National Bureau of Economic Research - 2022

We construct a perpetual youth DSGE model with aggregate un- certainty in which there are dynamically complete markets and agents have Epstein-Zin preferences. We prove that, when endowments have a realistic hump-shaped age-profile, our model has three steady-state equilibria. One of these...

Persistent link: https://www.econbiz.de/10013388774

Aggregate Lapsation Risk

Koijen, Ralph S. J.; Lee, Hae Kang; Nieuwerburgh, Stijn van - National Bureau of Economic Research - 2022

We study aggregate lapsation risk in the life insurance sector. Using the regulatory reporting of historical lapse rates by life insurers, we empirically document the counter-cyclicality of lapsation behavior. We construct two lapsation risk factors that explain a large fraction of the common...

Persistent link: https://www.econbiz.de/10013334405

Financial Machine Learning

Kelly, Bryan T.; Xiu, Dacheng - National Bureau of Economic Research - 2023

We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...

Persistent link: https://www.econbiz.de/10014322889

Forward Return Expectations

Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

Persistent link: https://www.econbiz.de/10014372444

High-Dimensional Factor Models and the Factor Zoo

Lettau, Martin - National Bureau of Economic Research - 2023

This paper proposes a new approach to the "factor zoo" conundrum. Instead of applying dimension-reduction methods to a large set of portfolios obtained from sorts on characteristics, I construct factors that summarize the information in characteristics across assets and then sort assets into...

Persistent link: https://www.econbiz.de/10014372475

Expected EPS * Trailing P/E

Ben-David, Itzhak; Chinco, Alex - National Bureau of Economic Research - 2024

All of asset-pricing theory currently stems from one key assumption: price equals expected discounted payoff. And much of what we think we know about discount rates comes from studying a particular kind of expected payoff: the earnings forecasts in analyst reports. Researchers typically access...

Persistent link: https://www.econbiz.de/10015072884

An Intangibles-Adjusted Profitability Factor

Jagannathan, Ravi; Korajczyk, Robert A.; Wang, Kai - National Bureau of Economic Research - 2023

earnings when measuring the return on equity of firms while constructing the profitability factor in the Fama and French (2015 …) five factor model. The profitability factor we construct has significant alpha relative to many extant multi-factor asset …-pricing models, including the standard Fama-French five factor model. When the profitability factor in the Fama and French (2015 …

Persistent link: https://www.econbiz.de/10014247989

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