Football (soccer) stocks are substantially subject to investor sentiment stemming from football fields. Evaluating sentiment functions help us understand how investors interpret field signals and attach value to those signals in stock markets. This study develops the Gaussian investor sentiment...

Dynamic Stochastic General Equilibrium (DSGE) models are now considered attractive by the profession not only from the theoretical perspective but also from an empirical standpoint. As a consequence of this development, methods for diagnosing the fit of these models are being proposed and...

This paper develops a consumption-based asset pricing model in which attitudes towards risk are contingent upon the state of the world. For a low (high) level of consumption relative to a subjective metric, counter-cyclical (pro-cyclical) risk aversion implies that consumption shocks generate...

We propose a consumption-based capital asset pricing model in which the representative agent's preferences display state-dependent risk aversion. Since a common factor - the state of the world - influences both stock prices and preferences, we obtain a valuation equation in which the vector of...

By means of a very simple example, this note illustrates the appeal of using Bayesian rather than classical methods to produce inference on hidden states in models of Markovian regime switching.

This paper provides a simple epidemiology model where households, when forming their inflation expectations, rationally adopt the past release of inflation with certain probability rather than the forward-looking newspaper forecast as suggested in Carroll [2003, Macroeconomic Expectations of...

I estimate DSGE models with recurring regime changes in monetary policy (inflation target and reaction coefficients), technology (growth rate and volatility), and/or nominal price rigidities. In the models, agents are assumed to know deep parameter values but make probabilistic inference...

A stronger long-term orientation is considered a competitive advantage of family firms relative to non-family firms. In this study, we use panel data of U.S. firms and analyze this proposition. Our findings are surprising. Only in when the family is involved in the management of the firm is the...

The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a posterior distribution spanning potentially nonnested models with parameter spaces of different dimensionality. We use the method to jointly sample from an ARMA process of unknown...

We propose a new approach to imposing economic constraints on time-series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We...