The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...

We show that using data which are properly available in real time when assessing the sensitivity of asset prices to economic news leads to different empirical findings than when data availability and timing issues are ignored. We do this by focusing on a particular example, namely Chen, Roll and...

This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns -- the Mixed Data Sampling (or MIDAS) approach. Using...

The risk-return trade-off implies that a riskier investment should demand a higher expected return relative to the risk-free return. The approach of Ghysels, Santa-Clara, and Valkanov (2005) consisted of estimating the risk-return trade-off with a mixed frequency, or MIDAS, approach. MIDAS...

The U.S. equities market price process is largely driven by the information set and actions of large institutional investors, not individual retail investors. Using quarterly 13-F holdings, we construct the Herfindahl-Hirschman Index (HHI) of institutional investor concentration as a measure of...

This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns -- the Mixed Data Sampling (or MIDAS) approach. Using...

We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) inflation tail risk. We estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk indicators which focus on inflation uncertainty and do...

We consider estimating volatility risk factors using large panels of filtered or realized volatilities. The data structure involves three types of asymptotic expansions. There is the cross-section of volatility estimates at each point in time, namely i = 1,...; N observed at dates t = 1;....., T....

This paper characterizes the risk-return trade-off in the U.S. Treasury market. We propose a discrete-time no-arbitrage term structure model, in which bond prices are solved in closed form and the conditional variances of bond yields are decomposed into a short-run component and a long-run...