I study the return predictability of firm life cycle, originally documented by Dickinson (2011). I show that a hedge portfolio strategy going long on mature firms and short on introduction firms generates a significant hedge portfolio return of 1.4% per month in return-weighted portfolios and...

This paper examines a canonical stochastic overlapping generations model with dynamically complete markets. Belief differences lead agents to place bets against each other and so wealth shifts across agents and across generations. Such changes in the wealth distribution strongly affect prices of...

This paper investigates how of systematic risk varies over the lifecycle of the firm. If market equity beta is determined by firm characteristics as the literature on the determinants of systematic risk holds, and if those characteristics change over the lifecycle of the firm following a...

To effectively cope with an unexpected, large, and negative income shock, I propose a life-cycle model for income risk management. I analyze the intertemporal consumption-investment problem in an incomplete market. I suggest a hybrid of the martingale approach and the dynamic programming...

How are trading activity and performance impacted by material events during individual investors' lifetimes? Using a unique dataset, we identify transfers of common stock initiated by the major event of divorce and analyze trading patterns and performance of divorced traders. In aggregate,...

The size effect can be attributed to the relative importance of growth options versus assets-in-place in total assets. By incorporating the changing trend of growth options over firm lifecycle into the dynamic investment model developed by Berk et al. (1999), this paper demonstrates that the...

The neoclassical growth model is extended to include costly intermediated borrowing and lending between households. This is an important extension as substantial resources are used to intermediate the large amount of borrowing and lending between households. In 2007, in the United States, the...

I present a model where competition in the asset management industry has positive and negative effects on fund performance. When funds have increasing (decreasing) returns to scale at the industry level, the flow-performance relation is concave (convex). Active funds outperform their benchmark...

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that, in the context of a structurally estimated life-cycle portfolio choice model, allowing for these rich features of earnings dynamics helps to better understand the limited...

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for these rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited participation...