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"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors
(2015-07-31)
In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with ...
Commodities, Financialization, and Heterogeneous Agents
(2016-04-28)
The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for ...
Temperature Shocks and Welfare Costs
(2018-01-22)
This paper examines the welfare implications of rising temperatures. Using a standard VAR, we empirically show that a temperature shock has a sizable, negative and statistically significant impact on TFP, output, and labor ...
Level and Slope of Volatility Smiles in Long-Run Risk Models
(2017-10-16)
We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine ...
The Collateralizability Premium
(2019-10-09)
A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, theory implies a negative collateralizability premium, that is, capital ...
Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
(2020-01-27)
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ...
Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
(2021-01-22)
"Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ...