The heft of non-bank financial intermediaries (NBFIs) has grown significantly after the Great Financial Crisis. This paper reviews structural shifts in intermediation and how NBFIs have shaped the demand and supply of liquidity in financial markets. We then lay out a framework for the key...

“Decentralised finance” (DeFi) refers to a range of applications in the crypto-asset space that seek to disintermediate the provision of financial services through reliance on self-executing computer code (“smart contracts”). DeFi has so far been mainly self-referential in that it has...

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

A sizeable literature reports that financial market analysts and forecasters herd for reputational reasons. Using new data from a large survey of professional forecasters' expectations about stock market movements, we find strong evidence that the expected average of all forecasters' forecasts...

This paper investigates whether measuring consumption risk over long horizons can improve the empirical performance of the Consumption CAPM for size and value premia in international stock markets (US, UK, and Germany). In order to account for commonalities in size and book-tomarket sorted...

This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits can be achieved by style investing in FX markets...

The common perception in the literature is that current dividend yields are uninformative about future dividends, but contain some information about future stock returns. In this paper, we show that this finding reverses when looking at a broad panel of countries outside the U.S.. In particular,...

We use survey expectations about future monetary policy to decompose excess returns on fed funds futures and overnight index swaps into a term premium and an expectation error component. We find that excess returns are primarily driven by expectation errors, while term premia are economically...

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...