This paper constructs and analyzes various measures of trading costs in US equity markets covering the period 1926–2015. These measures contain statistically and economically significant predictive signals for stock market returns and real economic activity. We decompose illiquidity proxies...

We show that there is strong commonality in the volatility of a wide range of diversified equity portfolios. Common factor volatility (CFV) exists even when factor or anomaly returns are market-adjusted and does not appear to be attributable to common microstructure noise or a lack of...

A large literature measures the effects of monetary policy shocks on asset prices. We promote a data-driven approach to designating monetary surprises via econometric tests for asset price jumps. Applying these tests, we identify the specific Fed communications that generate surprises....

This paper addresses the economic value of estimated portfolio rules under general utility. Incorporating estimation risk magnifies errors associated with mean-variance approximations to the economic value of portfolio rules. In fact, for some preference specifications, including CRRA utility,...