U.S. velocity of base money exhibits three distinct trends since 1950. After rising steadily for 30 years, it flattens out in the 1980s, and falls substantially in the 1990s. This paper explores whether the observed secular movements in velocity can be accounted for exclusively by endogenous...

We provide a simple rational bubble model demonstrating that a concentration of income is necessary and sufficient for the existence of equilibria with risky speculative bubbles. Income concentration among top earners leads to excess savings and depressed interest rates, which facilitate the...

The purpose of this document is to outline the triumvirate investment paradigm as a strategic asset allocation blueprint for portfolio construction by categorizing assets into three distinct groups: Property, Business, and Country.This triumvirate taxonomy fits better within the economic context...

Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...

We investigate worst-case optimal consumption and portfolio decisions under the threat of a market crash. In an infinite-horizon setting, we provide an explicit solution for constant relative risk aversion and establish a rigorous verification result. Moreover, we find a dual characterization of...

To implement strategic asset allocation, we must determine risk and return expectations for the various asset classes. Starting from the paradigm that long-run asset returns are determined by the long-run fundamentals of the economy, a fair value approach to building expectations is crucial....

Using a general equilibrium model with endogenous growth, I show that risk to human capital leads to a “Value” premium in equity returns. In particular, firms with relatively more firm-specific human capital or more positive covariance between asset growth and returns on human capital are...

In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same news articles. We...

Our study evaluates the return sensitivity of cryptocurrencies to various measures of uncertainty (uncertainty beta). We identify that crypto returns react primarily to financial uncertainty, which is the unforecastable component of multiple financial indicators. However, crypto returns are not...