We explore the asset pricing implications of shocks that allow firms to extract more rents from consumers. These markup shocks directly impact the representative household's marginal utility and the firms' cash flow. Using firm-level data, we construct a measure of aggregate markup shocks and...

This paper proposes a novel portfolio strategy over individual stocks based on subset combination of a large number of characteristics documented to predict return. Akin to the forecast combination literature, we exploit all characteristics by combining parametric rules that include a particular...

The paper uncovers the volatility spillovers in tails between non-fungible token (NFT) markets and bitcoin from 2019 to 2021. The results show that the NFTs and bitcoin are less connected in the left tail (bearish markets) in comparison to the right tail. It reveals that the Art NFT market has...

Based on intraday data for a large cross section of individual stocks, we find that the risk component of stock returns exhibits strong intraday momentum, and this pattern holds from previous market close to 10:00, and every half hour since then until market close at 16:00. Strikingly, the...

Exchange-traded funds (ETFs) are typically viewed as passive index trackers. In contrast, we show that corporate bond ETFs actively manage their portfolios, trading off index tracking against liquidity transformation. In our model, ETFs optimally choose creation and redemption baskets that...

Utilizing a comprehensive database spanning 110 exchanges in five geographic regions, we examine trends in trade activity and contract innovation of exchange-traded futures and options over the period 2002–2021. We find that global volume has experienced a ten-fold increase driven by...

Classical interval estimation ignores misspecification uncertainty that is almost inevitable in practice. This paper proposes an approach to construct an uncertainty interval that incorporates misspecification based on an $f$-divergence. We construct the uncertainty interval estimators using...

We review the extension to the Forward-Market-Model proposed by Willems (2020) to accommodate backward and forward-looking caplets within the same model. While theoretically intuitive, this extension offers very limited flexibility when calibrated to market data. We find that the backward and...

I construct a measure of cash flow duration at the firm level and link it to carbon emissions of the same firm. Firms with higher carbon emissions generate their cash flows in the near term, reflecting that long-term cash flows are relatively more exposed to transitional climate risks. This...

In early 2022 inflation reemerged and gave concern that the Federal Reserve would increase short-term interest rates and threaten common stock values. To gain insights on what may happen to stocks, this article reviews the key factors that influenced common stock pricing since 1920, namely...