This paper examines the time series properties of the price of a risky asset implied by a model in which competitive traders are heterogeneously informed about the underlying sources of uncertainty in the economy.Traders do not observe the shocks in the period they occur. However, traders are...

These exercises are part of a course on Big Data Asset Pricing. The exercises train students in working with big asset pricing data in light of economic theory, including beta-dollar neutral portfolio construction, constructing value factors, factor replication analysis and multiple testing...