The accuracy of U.S. stock return forecasts based on the cyclically-adjusted P/E (CAPE) ratio has deteriorated since 1985. The issue is not the CAPE ratio, but CAPE regressions that assume it reverts mechanically to its long-run average. Our approach conditions mean reversion in the CAPE ratio...

Our paper contributes to the common ownership debate by empirically assessing the link between common ownership and profitability as a proxy for market competition. Rather than focusing on single industries, as most related studies do, we assess the common ownership hypothesis in the aggregate,...

Some bond investors form expectations for future interest rates by either assuming that yields will not change over time (i.e. random walk), or that future spot rates will evolve to match current forward rates (i.e., the expectations hypothesis). Recent academic research argues that we can do...

We quantify the time-varying effects of oil-price shocks on the U.S. economy, Federal Reserve policy, and global equity markets. While the first-round impact of oil-price shocks on U.S. economic growth has not changed materially over time, their formerly-negative second-round effects are notably...

The recent world energy crisis raises serious questions about the extent to which the United States should increase domestic oil production and develop alternative sources of energy. We examine the energy developments in Brazil as an important experiment. Brazil has reduced its share of imported...