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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 ...
The FOMC Risk Shift
(2021-01-27)
We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated, and therefore complementary, to risk-free ...
Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
(2021-03-24)
We define a sentiment indicator that exploits two contrasting views of return predictability, and study its properties. The indicator, which is based on option prices, valuation ratios and interest rates, was unusually ...