In this paper we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor calculated as the average of the household clusters' intertemporal marginal rates of substitution in...

In this article we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor (SDF) calculated as the average of the household clusters’ intertemporal marginal rates of...

In this article we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor (SDF) calculated as the average of the household clusters’ intertemporal marginal rates of...

We examine the dynamic relation between return and volume of individual stocks in Russia and other emerging markets. In a simple model in which investors trade to share risk or speculate on private information, Llorente, Michaely, Saar, and Wang (2001) show that returns generated by risk-sharing...

We apply the theoretical framework of Llorente, Michaely, Saar, and Wang(2002) to analyze the relation between daily volume and first-order return autocorrelationfor individual stocks in emerging markets. We find strong evidence of return continuation following high volume days, suggesting the...

quot;Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and real interest ratesquot; (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation and inflation risk premia using data on...

quot;Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and real interest rates.quot; (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation, and inflation risk premia using data on...

This paper estimates inflation risk premia using data on prices of Treasury Inflation Protected Securities (TIPS) over the period 2000-2008. The estimation approach used is arbitrage free, largely model free, and easy to implement. It also distinguishes between TIPS yields and real yields by...

I present a generalized model that structurally nests both quot;catching up with the Jonesesquot; (external habit) and quot;time non-separablequot; (internal habit) preference specifications. The model's asset pricing implications are confronted with the observed aggregate US consumption and...