Purpose: Emerging in recent years, digital transformation has become an effective approach for firms to remain competitive in the digital economy. Although this trend has received increasing interest in the business world, there remains a lack of empirical research on the organizational...

The consumption growth data strongly favor a two-regime specification. The high volatility, low growth regime is associated with deep recessions: the Great Depression, the recession of 1937-1938, the post-war recession of 1945, and the most recent financial crisis. I develop parsimonious models...

We propose that general purpose technologies (GPTs) — a class of technologies that have pervasive impacts on the economy and spill over across countries — are a source of non-diversifiable technology risk in international stock markets. We construct an empirical GPT factor from patent data...

I document that durable consumption growth is persistent and predicted by the price-dividend ratio. This provides strong and direct evidence for the existence of a highly persistent expected component. I also document robust evidence that durable consumption growth is left skewed and exhibits...

This article develops and empirically implements an arbitrage-free, dynamic term structure model with priced factor and regime-shift risks. The risk factors are assumed to follow a discrete-time Gaussian process, and regime shifts are governed by a discrete-time Markov process with...

This paper presents a consumption based model that reveals intertemporal substitution as a distinctive and important channel, separate from risk aversion, in generating equity premium, return volatility, and their cyclical variations. Two main ingredients, Epstein-Zin preferences and external...