To confront the challenge that disaster risk is “dark matter” in finance, we construct an objective measure of disaster risk, which is able to predict half of GDP crashes in a sample of 20 advanced economies between 1870 and 2021. Despite this significant predictability, we find no...

These lecture notes are part of a course on Big Data Asset Pricing. The topics covered in this Primer on Empirical Asset Pricing include the basic questions in empirical asset pricing, how to make factors, how to use factors in factor models, regressions (time series, cross-sectional,...

These lecture notes are part of a course on Big Data Asset Pricing. The topics covered include fundamentals of asset pricing with frictions, transaction costs and market liquidity risk, funding liquidity risk, margin requirements, new directions, and machine learning with frictions.For more...