We estimate agents' expectations about future fundamentals using a dynamic stochastic generalequilibrium model augmented with anticipated shocks. Accounting for agents' expectations atthe business cycle horizon results in aggregate risk factor innovations that have significant explanatory power...

Using the first reported case of COVID-19 in a given US county as the event day, firms headquartered in an affected county experience an average 27 bps lower return in the 10-day post-event. This negative effect nearly doubles in magnitude for firms in counties with a higher infection rate (-50...

We provide the first academic study on the performance of IRA pension plans from 2004 through 2018. At the aggregate level, the risk-adjusted performances of IRA plans are comparable to that of the aggregate equity market. However, high-income individuals substantially outperform low-income...