This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...

This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...

This paper studies asset pricing wherein the model combines dynamic learning and habit formation with agents' heterogeneous beliefs and preferences in a dynamic, stochastic, general-equilibrium, pure-exchange, international Lucas orchard. The intertemporal equilibrium model considers two groups...

This paper shows that shifts in investor preferences for Environmental, Social, and Governance (ESG) attributes affect asset prices. Using Internet search volume to capture ESG sentiment shifts, we propose a novel firm-level measure of return sensitivity to ESG sentiment (i.e., ESG beta). We...

We examine the roles of rational and behavioural factors in explaining long-run premiums/discounts on closed-end funds, using evidence on equity funds from the US and UK. Although the processes by which fund prices converge towards long-run premiums or discounts are similar in the two countries,...

This paper investigates whether realized and implied volatilities of individual stocks can predict the cross-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot predict future returns, there is a significant...