Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential...

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

We consider the frequency and correlation of extreme return observations or “jumps” across equities, Treasury bonds, corporate bonds, currencies, commodities, and real estate. Understanding more about jumps is important to investors as diversification across asset classes is diminished if...

Estimating long-term expected returns as accurately as possible is of critical importance. Researchers typically base their estimates on yield and growth, valuation, or a combined yield, growth, and valuation framework. We run a horse race of the abilities of different frameworks and input...

While a large body of research documents various firm characteristics and market conditions that drive corporate default, whether risk aversion matters for default risk remains largely under-investigated. A challenge for prior studies that aim to examine the impact of fear on default risk is...