We study a production economy with multiple sectors financed by issuing securities to agents who face capital constraints. Binding capital constraints propagate business cycles, and a reduction of the interest rate can increase the required return of high-haircut assets since it can increase the...

These exercises are part of a course on Big Data Asset Pricing. The exercises train students in working with big asset pricing data in light of economic theory, including beta-dollar neutral portfolio construction, constructing value factors, factor replication analysis and multiple testing...