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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: ...
Investment-Specific Shocks, Business Cycles, and Asset Prices
(2016-03-14)
We introduce long-run investment productivity risk in a two-sector production economy to explain the joint behavior of macroeconomic quantities and asset prices. Long-run productivity risk in both sectors, for which we ...
Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics
(2017-10-17)
Empirical evidence suggests that investments in research and development (R&D) by older and larger firms are more spread out internationally than R&D investments by younger and smaller firms. In this paper, I explore the ...