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The Dynamics of Crises and the Equity Premium
(2015-05-18)
It is a major challenge for asset pricing models to generate a high equity premium and a low risk-free rate while imposing realistic consumption dynamics. To address this issue, our paper proposes a novel pricing channel: ...
International Capital Markets with Time-Varying Preferences
(2017-08-02)
We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on ...
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 ...
BEA
The Bureau of Economic Analysis produces economic accounts statistics that enable government and business decision-makers, researchers, and the American public to follow and understand the performance of the Nation's economy.
IFO
"The ifo Institute provides the material with which it strives to shape the discourse on relevant topics in academia and in the public eye - hence our claim ""Shaping the Economic Debate"""
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 ...