We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 liquid futures contracts and show that RAMOM strategies...

We calculate equilibria of dynamic double-auction markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors are segmented into groups that differ with respect to characteristics determining information...

We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to raise funds in credit markets and have...

We study the market price of risk, the stock volatility and the hedging behavior in equilibrium of heterogeneous agents with arbitrary utility functions, consuming only at the end of the time horizon, and with the state variable following an arbitrary homogeneous diffusion process. We introduce...

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

We document that corporates in emerging markets borrow more in foreign currency when the local currency provides a better hedge in downturns. We develop an international corporate finance model in which firms facing adverse selection choose the foreign currency share of their debt. In the unique...

We establish universal bounds for asset prices in heterogeneous complete market economies with scale invariant preferences. Namely, for each agent in the economy we consider an artificial homogeneous economy, populated solely by this agent and calculate the homogeneous price of an asset in each...

We introduce a general class of incomplete markets that includes almost all well known examples of market incompleteness in finance and macroeconomics. Two concrete examples are the problem of idiosyncratic income shocks and general, diffusion driven incompleteness. For all markets in this class...