A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...

This paper provides a comprehensive survey of existing measures of uncertainty, risk, and volatility, noting their conceptual distinctions. It summarizes how they are constructed, their relative advantages in usage, and their effects on financial market and economic outcomes. The measures are...

China’s green bond market registered rapid growth in response to the goals of achieving emission peak and carbon neutrality. In 2021, China’s labeled green bond market amounted to over RMB640 billion, becoming a significant part of the global green bond market. The following measures can be...

We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why markets react to central bank communications. We find that...

Due to the weak financial and governing abilities of the state in many rural areas of India, SHGs have become one of the major means to financially manage the village-based issues. This paper examines the role of Self-Help Groups (SHGs) in managing village-level financial and education crises in...

This paper combines a data rich environment with a machine learning algorithm to provide new estimates of time-varying systematic expectational errors ("belief distortions") embedded in survey responses. We find that distortions are large on average even for professional forecasters, with all...