This paper analyzes a model in which long-term risky assets are illiquid due to adverse selection. The degree of adverse selection and hence the liquidity of these assets is determined endogenously by the amount of trade for reasons other than private information. I find that higher productivity...

We develop a dynamic equilibrium model of complex asset markets with endogenous entry and exit in which the investment technology of investors with more expertise is subject to less asset-specific risk. The joint equilibrium distribution of financial expertise and wealth then determines risk...

Capital reallocation is procyclical, despite measured productive reallocative opportunities being acyclical or even countercyclical. This article reviews the advances in the literature studying the causes and consequences of capital reallocation (or lack thereof). We provide a comprehensive set...

Capital reallocation is procyclical, despite measured productive reallocative opportunities being acyclical, or even countercyclical. This paper reviews the advances in the literature studying the causes and consequences of capital reallocation (or lack thereof). We provide a comprehensive set...

Capital reallocation is procyclical, despite measured productive reallocative opportunities being acyclical, or even countercyclical. This paper reviews the advances in the literature studying the causes and consequences of capital reallocation (or lack thereof). We provide a comprehensive set...

The Chen, Karabarbounis and Neiman (CKN) paper provides interesting global evidence regarding the financing of corporations, and the distribution of aggregate saving between the corporate and household sectors worldwide. To execute their study on global corporate saving, the authors must map the...

Intangible capital which relies on essential human inputs, which we will refer to as “organization capital,” is an increasingly important part of the US and global capital stock. According to Corrado, Hulten, and Sichel (2009), this type of capital is the single largest category of business...

US data display aggregate external financing and savings waves. Firms can allocate costly external finance to productive capital, or to liquid assets with low physical returns. If firms raise costly external finance and accumulate liquidity, either the cost of external finance is relatively low...

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns. MBS earn risk premia as compensation for theirexposure to prepayment risk. We measure prepayment risk and estimate security riskloadings using real data on prepayment forecasts vs....

Complex assets appear to have high average returns and high Sharpe ratios. However,despite these attractive attributes, participation in complex assets markets is very limited.We argue that this is because investing in complex assets requires a model, and investors'individual models expose them...