We use carbon dioxide (CO2) emissions growth to measure consumption risk within a consumption-based capital asset pricing model (CCAPM) framework. Given the comprehensive worldwide coverage of CO2 emissions, this measure allows us to use the full history of stock market data in the United...

This paper investigates the source of price momentum in the stock market using information from options markets. We provide direct evidence of the gradual information diffusion model in Hong and Stein (1999): momentum profits are larger for stocks whose information diffuses slowly into the stock...

Although it may be difficult for households to instantaneously adjust their stock of durable goods, they have much more latitude in adjusting the service flow from that stock. In contrast to past studies that assume service flow to be a constant fraction of the stock, we model the utilization of...

We exploit a unique dataset of country-specific military expenditures and construct a proxy for international instability, measured as the growth of the global military expenditure to GDP ratio, to capture political tensions and international conflicts. Using the market indices of 44 countries,...

We construct a traded funding liquidity measure from stock returns. Guided by a model, we extract the measure as the return spread between two beta-neutral portfolios constructed using stocks with high and low margin, to control for stocks' sensitivities to the aggregate funding shocks. Our...

Hedge funds with larger macroeconomic-risk betas do not earn higher returns, contrast to the theoretically predicted risk-return tradeoff. Meanwhile, high macro-beta funds deliver higher returns than low macro-beta funds following low-sentiment months, whereas the risk-return relation is flat...

Using political turnovers in mayoral appointments at the prefecture-city level in China, we show that investors incorporate rising local political uncertainty into bond pricing and relocate capital from municipal corporate bonds and privately issued bonds toward bonds issued by centrally...