is countercyclical. As a result, theory implies a negative collateralizability premium; that is, capital that can be used … as collateral to relax financial constraints provides insurance against aggregate shocks and commands a lower risk …

financial frictions and labor demand, as in Jermann and Quadrini (2012), is key to the result. A collateral constraint a la …

Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In … this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium … model with heterogeneous agents facing collateral constraints for borrowing. We document that borrowing against collateral …

deteriorate, uncertainty rises and investors' opinions polarize. Disagreement thus spikes in bad times, causing returns to react … to past news. This phenomenon creates a positive relation between disagreement and future returns. It also generates time …-series momentum, which strengthens in bad times, increases with disagreement, and crashes after sharp market rebounds. We provide …