We introduce a return predictor related to the slope and curvature of the futures term structure: basis-momentum. Basis-momentum strongly outperforms benchmark characteristics in predicting commodity spot and term premiums in the time series and cross section. Exposure to basis-momentum is...

We show that decomposing macroeconomic risks across horizon is key to uncover a tight link between risk premia and the real economy. Exposure in four-year returns to innovations in macroeconomic growth and volatility with a matching half-life of over four years is priced in a wide variety of...

We find that the relation between state variables, such as the t-bill rate and term spread, and consumption growth is time-varying. In the cross-section of US stocks, risk premia for exposure to state variables vary over time accordingly. When a state variable predicts consumption strongly...

We classify asset pricing anomalies into those that exacerbate mispricing (build-up anomalies) and those that resolve it (resolution anomalies). To this end, we estimate the dynamics of price wedges for a large number of well-known anomaly portfolios in the factor zoo and map them to firm-level...

I study whether risk premiums for exposure to state variables in the cross-section of individual stocks are consistent with how these variables forecast macroeconomic activity in the time-series. I find such time-series and cross-sectional consistency. This finding suggests that investors are...

We study a large set of macroeconomic announcements (MAs), disentangle their news content, and estimate risk premia for each type of news in the cross-section of stocks. Our most interesting finding is that a portfolio that pays off around MAs that negatively impact the stock market commands a...

We study how short- and long-term equity claims respond to news about long-term economic growth and analyze the relative contribution of cash flows and discount rates to this response. To this end, we add the equity yields from Giglio, Kelly, and Kozak (2020) to a standard structural macro-VAR...

Much of the literature considers only short-term acquirer announcement returns when analyzing which mergers create value for the acquirer. However, announcement returns combine information about value creation because of the merger and a revaluation of the acquirer's stand-alone value. We use...

This chapter reviews the evidence of predictability in US residential and commercial real estate markets. First, we highlight the main methodologies used in the construction of real estate indices, their underlying assumptions and their impact on the stochastic properties of the resultant...

We propose a new approach to imposing economic constraints on forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We consider two...