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Optimal Consumption and Investment with Epstein-Zin Recursive Utility
(2016-07-04)
We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ...
Preference Evolution and the Dynamics of Capital Markets
(2016-05-13)
This paper introduces endogenous preference evolution into a Lucas-type economy and explores its consequences for investors' trading strategy and the dynamics of asset prices. In equilibrium, investors herd and hold the ...
Pricing Sin Stocks: Ethical Preference vs. Risk Aversion
(2018-06-14)
We develop a model that reproduces the average return and volatility spread between sin and non-sin stocks. Our investors do not necessarily boycott sin companies. Rather, they are open to invest in any company while trading ...
Asset Pricing in OLG Economies With Borrowing Constraints and Idiosyncratic Income Risk
(2018-09-17)
This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in an overlapping generations economy. I find that introducing a zero-borrowing constraint in an economy ...
Compustat
Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.
Datastream
Historical financial database with over 35 million individual instruments or indicators across all major asset classes, including 8.5 million active economic indicators. It features 70 years of data, across 175 countries ...
FRED
Federal Reserve Economic Data (FRED) is a database maintained by the Research division of the Federal Reserve Bank of St. Louisthat has more than 500,000 economic time series from 87 sources. The data can be viewed in ...
PSID
The Panel Study of Income Dynamics (PSID) is the longest running longitudinal household survey in the world. The study began in 1968 with a nationally representative sample of over 18,000 individuals living in 5,000 families ...
World Bank
The World Bank DataBank is an analysis and visualisation tool that contains collections of time series data on a variety of topics. You can create your own queries; generate tables, charts, and maps; and easily save, embed, ...
CRSP
Our portfolio of stock, indexes, mutual fund, treasury, and REIT market databases is relied on by academicians whose research and publications must withstand rigorous analysis for accuracy. Quantitative analysts in the ...