This paper documents that momentum profits in corporate bonds prevail during weakening aggregate credit conditions, and are driven by losers. Consistent with this, we find that a conditional default factor explains the cross-section returns of corporate bond portfolios sorted by past...

Does the momentum effect arise naturally from the determination of asset prices in market equilibrium? We calibrate a standard endowment model of multiple assets under recursive preferences. The momentum effect partly comes from investors' aversion to consumption risks. An unexpected dividend...

This paper empirically studies the role of macro factors in explaining and predicting daily bond yields. In general, macro-finance models use low-frequency data to match with macroeconomic variables available only at low frequencies. To deal with this, we construct and estimate a tractable...

We study a continuous-time pure exchange economy where idiosyncratic cash flow risks are priced via investors' heterogeneous beliefs. Investors perceive idiosyncratic cash flow risks differently through heterogeneous subjective mean growth rates on a firm's cash flow. This impacts equilibrium...

This paper studies the impact of ambiguous information regarding future interest rates on bond prices. A simple bond-pricing model with ambiguity aversion shows that positive bond uncertainty premiums exist, and the interest rate ambiguity affects the term structure of interest rates and yield...

This paper proposes empirical methods to measure Credit Default Swap (CDS) return and explores its factor structure. We find that approximated CDS returns deviate significantly from actual returns based on the upfront fee, computed with protection sellers' cash flows. Past CDS returns and the...

Information about credit quality is uncertain and varies across debt maturity. We show that an ambiguity-averse firm manager will avoid maturities with ambiguous credit information. We thus hypothesize that firms choose maturity structures where perceived credit quality uncertainty is lower....

This paper proposes a neoclassical growth model of a small open economy, connecting international trade to real GDP growth and structural transformation from agriculture to non-agriculture. The calibrated model generates 'growth miracles,' to which the contributors are learning by doing and...

We propose an asset pricing model in a production economy where cash flows are determined by firms' dividend and investment decisions. Managers choose extensive and intensive margins in payout policy while facing non-convex costs as firm cash holdings grow. Differences in the timing of dividend...

This paper considers asset pricing models with stochastic differential utility incorporating decision makers' concern with ambiguity on true probability measure. Under a representative agent setting, we empirically evaluate alternative preference specifications including a multiple-priors...