We study cointegrating relationships among fiscal variables and output and use them to introduce a new measure of the government's fiscal position. In the US since World War II, we find that the primary surplus-GDP ratio and the government debt-GDP ratio are nonstationary, which invalidates...

Many questions about institutional trading can only be answered if one can track high-frequency changes in institutional ownership. In the US, however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behavior from the...

Many questions about institutional trading can only be answered if one can track high-frequency changes in institutional ownership. In the US, however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behavior from the...

Using a large representative sample of Indian retail equity investors, many of them new to the stock market, we show that recent investment experiences affect portfolio composition. Because investors are imperfectly diversified, cross-sectional variation in their investment experiences allows us...

Value investing delivers volatile returns, with large drawdowns during both market booms and busts. This paper interprets these returns through an intertemporal CAPM, which predicts that aggregate cash flow, discount rate, and volatility news all move value returns. We document that indeed these...

Value investing delivers volatile returns, with large draw-downs both in periods of strong stock market performance such as the technology boom of the late 1990s, and in stock market downturns such as the global financial crisis of 2008 and the Covid-19 pandemic of 2020. This paper interprets...

This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which...