NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Papers on Asset Pricing

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2016
w22839 Geert Bekaert
Eric Engstrom
Andrey Ermolov

Macro Risks and the Term Structure of Interest Rates
w22851 Peter Diep
Andrea L. Eisfeldt
Scott Richardson

Prepayment Risk and Expected MBS Returns
w22829 Itzhak Ben-David
Francesco Franzoni
Rabih Moussawi

Exchange Traded Funds (ETFs)
w22831 Andreas Neuhierl
Michael Weber

Monetary Policy and the Stock Market: Time-Series Evidence
w22795 Kent D. Daniel
Robert B. Litterman
Gernot Wagner

Applying Asset Pricing Theory to Calibrate the Price of Climate Risk
w22793 Ari Levine
Yao Hua Ooi
Matthew Richardson

Commodities for the Long Run
w22799 Peter DeMarzo
Zhiguo He

Leverage Dynamics without Commitment
w22774 Nathan Foley-Fisher
Borghan Narajabad
Stephane Verani

Securities Lending as Wholesale Funding: Evidence from the U.S. Life Insurance Industry
w22787 Gary Gorton
Guillermo Ordoñez

Fighting Crises
w22789 Edward Glaeser
Wei Huang
Yueran Ma
Andrei Shleifer

A Real Estate Boom with Chinese Characteristics
w22790 Tarek A. Hassan
Thomas M. Mertens
Tony Zhang

Currency Manipulation
w22751 Ricardo J. Caballero
Alp Simsek

A Model of Fickle Capital Flows and Retrenchment: Global Liquidity Creation and Reach for Safety and Yield
w22763 Samuel G. Hanson
David S. Scharfstein
Adi Sunderam

Fiscal Risk and the Portfolio of Government Programs
w22743 Òscar Jordà
Moritz Schularick
Alan M. Taylor

Macrofinancial History and the New Business Cycle Facts
w22729 Arvind Krishnamurthy
Jennie Bai
Charles-Henri Weymuller

Measuring Liquidity Mismatch in the Banking Sector
w22723 Sang Byung Seo
Jessica A. Wachter

Do Rare Events Explain CDX Tranche Spreads?
w22695 Matthew Baron
Wei Xiong

Credit Expansion and Neglected Crash Risk
w22697 Nicolae Gârleanu
Stavros Panageas
Jianfeng Yu

Impediments to Financial Trade: Theory and Applications
w22634 Assaf Hamdani
Eugene Kandel
Yevgeny Mugerman
Yishay Yafeh

Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment
w22638 Marco Di Maggio
Amir Kermani
Christopher Palmer

How Quantitative Easing Works: Evidence on the Refinancing Channel
w22651 Barney Hartman-Glaser
Hanno Lustig
Mindy X. Zhang

National Income Accounting When Firms Insure Managers: Understanding Firm Size and Compensation Inequality.
w22618 Pierre-Olivier Gourinchas
Hélène Rey

Real Interest Rates, Imbalances and the Curse of Regional Safe Asset Providers at the Zero Lower Bound
w22614 Patrick Kehoe
Elena Pastorino
Virgiliu Midrigan

Debt Constraints and Employment
w22615 Francis X. Diebold
Frank Schorfheide
Minchul Shin

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
w22619 Gary Gorton
Tyler Muir

Mobile Collateral versus Immobile Collateral
w22592 Wenxin Du
Carolin E. Pflueger
Jesse Schreger

Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
w22599 Gary Gorton
Ping He

Optimal Monetary Policy in a Collateralized Economy
w22605 Francis Larson
John A. List
Robert D. Metcalfe

Can Myopic Loss Aversion Explain the Equity Premium Puzzle? Evidence from a Natural Field Experiment with Professional Traders
w22556 Kirk Hamilton
John F. Helliwell
Michael Woolcock

Social Capital, Trust and Well-being in the Evaluation of Wealth
w22563 Francesco D’Acunto
Daniel Hoang
Michael Weber

The Effect of Unconventional Fiscal Policy on Consumption Expenditure
w22572 Francesco Bianchi
Martin Lettau
Sydney C. Ludvigson

Monetary Policy and Asset Valuation: Evidence From a Markov-Switching cay
w22576 Jacob Boudoukh
Jordan Brooks
Matthew Richardson
Zhikai Xu

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds
w22516 Francis X. Diebold
Minchul Shin

Assessing Point Forecast Accuracy by Stochastic Error Distance
w22520 Michael Weber
Cash Flow Duration and the Term Structure of Equity Returns
w22527 Hengjie Ai
Ravi Bansal

Risk Preferences and The Macro Announcement Premium
w22551 Robert P. Bartlett
III
Justin McCrary

How Rigged Are Stock Markets?: Evidence From Microsecond Timestamps
w22529 Ravi Bansal
Dana Kiku
Marcelo Ochoa

Price of Long-Run Temperature Shifts in Capital Markets
w22533 Markus K. Brunnermeier
Yuliy Sannikov

The I Theory of Money
w22547 Daniel R. Cavagnaro
Berk A. Sensoy
Yingdi Wang
Michael S. Weisbach

Measuring Institutional Investors' Skill from Their Investments in Private Equity
w22476 Thomas Philippon
The FinTech Opportunity
w22485 John H. Cochrane
Macro-Finance
w22492 Söhnke M. Bartram
Gregory Brown
René M. Stulz

Why Does Idiosyncratic Risk Increase with Market Risk?
w22461 Nina Boyarchenko
David O. Lucca
Laura Veldkamp

Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets
w22444 Eduardo Dávila
Anton Korinek

Fire-Sale Externalities
w22414 Valentin Haddad
Erik Loualiche
Matthew Plosser

Buyout Activity: The Impact of Aggregate Discount Rates
w22416 Rhys Bidder
Ian Dew-Becker

Long-Run Risk is the Worst-Case Scenario
w22384 Nicholas Kozeniauskas
Anna Orlik
Laura Veldkamp

The Common Origin of Uncertainty Shocks
w22391 Sergey Chernenko
Adi Sunderam

Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds
w22404 Taylor D. Nadauld
Berk A. Sensoy
Keith Vorkink
Michael S. Weisbach

The Liquidity Cost of Private Equity Investments: Evidence from Secondary Market Transactions
w22364 Jaroslav Borovička
Lars Peter Hansen

Term Structure of Uncertainty in the Macroeconomy
w22351 Marco Di Maggio
Marcin Kacperczyk

The Unintended Consequences of the Zero Lower Bound Policy
w22354 Monika Piazzesi
Martin Schneider

Housing and Macroeconomics
w22355 Priyank Gandhi
Hanno Lustig
Alberto Plazzi

Equity is Cheap for Large Financial Institutions: The International Evidence
w22330 Harold Cole
Daniel Neuhann
Guillermo Ordoñez

Debt Crises: For Whom the Bell Tolls
w22332 Marco Di Maggio
Amir Kermani
Zhaogang Song

The Value of Trading Relationships in Turbulent Times
w22343 Markus K. Brunnermeier
Yuliy Sannikov

Macro, Money and Finance: A Continuous Time Approach
w22297 George-Marios Angeletos
Chen Lian

Incomplete Information in Macroeconomics: Accommodating Frictions in Coordination
w22295 Emmanuel Farhi
Matteo Maggiori

A Model of the International Monetary System
w22256 Atif Mian
Amir Sufi

Who Bears the Cost of Recessions? The Role of House Prices and Household Debt
w22258 Michael Bailey
Ruiqing Cao
Theresa Kuchler
Johannes Stroebel

Social Networks and Housing Markets
w22266 Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer

Diagnostic Expectations and Credit Cycles
w22270 Benjamin Hébert
Jesse Schreger

The Costs of Sovereign Default: Evidence from Argentina
w22271 Zhiguo He
Arvind Krishnamurthy
Konstantin Milbradt

A Model of Safe Asset Determination
w22247 Itzhak Ben-David
Francesco Franzoni
Rabih Moussawi
John Sedunov

The Granular Nature of Large Institutional Investors
w22225 Anmol Bhandari
Jaroslav Borovička
Paul Ho

Identifying Ambiguity Shocks in Business Cycle Models Using Survey Data
w22228 Roger E.A. Farmer
Pricing Assets in an Economy with Two Types of People
w22196 Robert E. Hall
Understanding the Decline in the Safe Real Interest Rate
w22208 Alan Moreira
Tyler Muir

Volatility Managed Portfolios
w22209 Jeffrey Hoopes
Patrick Langetieg
Stefan Nagel
Daniel Reck
Joel Slemrod
Bryan Stuart

Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock
w22210 Gary B. Gorton
The History and Economics of Safe Assets
w22183 Drew D. Creal
Jing Cynthia Wu

Bond Risk Premia in Consumption-based Models
w22143 William N. Goetzmann
Dasol Kim
Robert J. Shiller

Crash Beliefs From Investor Surveys
w22146 Itzhak Ben-David
Justin Birru
Viktor Prokopenya

Uninformative Feedback and Risk Taking: Evidence from Retail Forex Trading
w22150 Ivo Welch
Levered Returns
w22152 Itamar Drechsler
Alexi Savov
Philipp Schnabl

The Deposits Channel of Monetary Policy
w22161 Zhi Da
Borja Larrain
Clemens Sialm
José Tessada

Coordinated Noise Trading: Evidence from Pension Fund Reallocations
w22162 David Backus
Nina Boyarchenko
Mikhail Chernov

Term Structures of Asset Prices and Returns
w22134 Campbell R. Harvey
Yan Liu

Rethinking Performance Evaluation
w22133 Markus K. Brunnermeier
Yuliy Sannikov

On the Optimal Inflation Rate
w22135 Roger Farmer
Pawel Zabczyk

The Theory of Unconventional Monetary Policy
w22115 Itzhak Ben-David
Justin Birru
Andrea Rossi

Trading Skill: Evidence from Trades of Corporate Insiders in Their Personal Portfolios
w22091 Yihui Pan
Tracy Yue Wang
Michael S. Weisbach

How Management Risk Affects Corporate Debt
w22096 Mikhail Chernov
Brett R. Dunn
Francis A. Longstaff

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
w22065 Patrick Bayer
Kyle Mangum
James W. Roberts

Speculative Fever: Investor Contagion in the Housing Bubble
w22066 Cristian Badarinza
John Y. Campbell
Tarun Ramadorai

International Comparative Household Finance
w22017 Zhiguo He
Arvind Krishnamurthy
Konstantin Milbradt

What Makes US Government Bonds Safe Assets?
w22016 Rajnish Mehra
Sunil Wahal
Daruo Xie

The Demand for Diversification in Incomplete Markets
w22020 Rajnish Mehra
Arunima Sinha

The Term Structure of Interest Rates in India
w22023 Hanno Lustig
Adrien Verdelhan

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
w22025 John Y. Campbell
Restoring Rational Choice: The Challenge of Consumer Financial Regulation
w22028 David S. Bates
How Crashes Develop: Intradaily Volatility and Crash Evolution
w22036 Gary Gorton
Ellis W. Tallman

How Did Pre-Fed Banking Panics End?
w22045 Stefano Giglio
Bryan Kelly

Excess Volatility: Beyond Discount Rates
w22000 Lars P. Hansen
Thomas J. Sargent

Sets of Models and Prices of Uncertainty
w22005 Diego Anzoategui
Diego Comin
Mark Gertler
Joseba Martinez

Endogenous Technology Adoption and R&D as Sources of Business Cycle Persistence
w22008 Gary Gorton
Guillermo Ordoñez

Good Booms, Bad Booms
w21993 Markus K. Brunnermeier
Luis Garicano
Philip Lane
Marco Pagano
Ricardo Reis
Tano Santos
David Thesmar
Stijn Van Nieuwerburgh
Dimitri Vayanos

The Sovereign-Bank Diabolic Loop and ESBies
w21977 Urban J. Jermann
Financial Markets' Views about the Euro-Swiss Franc Floor
w21944 Nicholas Barberis
Robin Greenwood
Lawrence Jin
Andrei Shleifer

Extrapolation and Bubbles
w21945 Kent Daniel
David Hirshleifer

Overconfident Investors, Predictable Returns, and Excessive Trading
w21919 Zhiguo He
Konstantin Milbradt

Dynamic Debt Maturity
w21920 Zhiguo He
Bryan Kelly
Asaf Manela

Intermediary Asset Pricing: New Evidence from Many Asset Classes
w21871 Robert J. Barro
Tao Jin

Rare Events and Long-Run Risks
w21879 David López-Salido
Jeremy C. Stein
Egon Zakrajšek

Credit-Market Sentiment and the Business Cycle
w21888 Robert J. Barro
Gordon Y. Liao

Options-Pricing Formula with Disaster Risk
w21890 Kaiji Chen
Jue Ren
Tao Zha

What We Learn from China's Rising Shadow Banking: Exploring the Nexus of Monetary Tightening and Banks' Role in Entrusted Lending
w21848 Xavier Gabaix
Behavioral Macroeconomics Via Sparse Dynamic Programming
w21852 Hélène Rey
International Channels of Transmission of Monetary Policy and the Mundellian Trilemma
w21863 James D. Hamilton
Macroeconomic Regimes and Regime Shifts
2015
w21750 Robin Greenwood
Samuel Hanson
Dimitri Vayanos

Forward Guidance in the Yield Curve: Short Rates versus Bond Supply
w21816 Eric T. Swanson
Measuring the Effects of Unconventional Monetary Policy on Asset Prices
w21817 Nicolas Coeurdacier
Hélène Rey
Pablo Winant

Financial Integration and Growth in a Risky World
w21795 Carola Frydman
Dimitris Papanikolaou

In Search of Ideas: Technological Innovation and Executive Pay Inequality
w21803 Sydney C. Ludvigson
Sai Ma
Serena Ng

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
w21804 Andrea Eisfeldt
Andrew Demers

Rental Yields and HPA: The Returns to Single Family Rentals
w21771 Francisco Barillas
Jay Shanken

Comparing Asset Pricing Models
w21772 Lorenz Kueng
Explaining Consumption Excess Sensitivity with Near-Rationality: Evidence from Large Predetermined Payments
w21767 Stefano Giglio
Matteo Maggiori
Johannes Stroebel
Andreas Weber

Climate Change and Long-Run Discount Rates: Evidence from Real Estate
w21739 Francesco Trebbi
Kairong Xiao

Regulation and Market Liquidity
w21749 Ralph S.J. Koijen
Motohiro Yogo

An Equilibrium Model of Institutional Demand and Asset Prices
w21722 Silvia Miranda-Agrippino
Hélène Rey

World Asset Markets and the Global Financial Cycle
w21731 Darrell Duffie
Lei Qiao
Yeneng Sun

Dynamic Directed Random Matching
w21694 Sebastian Edwards
Francis A. Longstaff
Alvaro Garcia Marin

The U.S. Debt Restructuring of 1933: Consequences and Lessons
w21696 Darrell Duffie
Haoxiang Zhu

Size Discovery
w21698 Francisco Barillas
Jay Shanken

Which Alpha?
w21700 William Goetzmann
Simon Huang

Momentum in Imperial Russia
w21693 William N. Goetzmann
Bubble Investing: Learning from History
w21686 Felipe S. Iachan
Plamen T. Nenov
Alp Simsek

The Choice Channel of Financial Innovation
w21668 Lubos Pastor
Pietro Veronesi

Income Inequality and Asset Prices under Redistributive Taxation
w21670 Ricardo J. Caballero
Emmanuel Farhi
Pierre-Olivier Gourinchas

Global Imbalances and Currency Wars at the ZLB.
w21673 Joseph S. Briggs
David Cesarini
Erik Lindqvist
Robert Östling

Windfall Gains and Stock Market Participation
w21626 Vadim Elenev
Tim Landvoigt
Stijn Van Nieuwerburgh

Phasing Out the GSEs
w21633 Scott R. Baker
Nicholas Bloom
Steven J. Davis

Measuring Economic Policy Uncertainty
w21581 Atif R. Mian
Amir Sufi
Emil Verner

Household Debt and Business Cycles Worldwide
w21584 Yacine Aït-Sahalia
Dacheng Xiu

Principal Component Analysis of High Frequency Data
w21563 Nicolae B. Gârleanu
Lasse H. Pedersen

Efficiently Inefficient Markets for Assets and Asset Management
w21567 Sumit Agarwal
Souphala Chomsisengphet
Neale Mahoney
Johannes Stroebel

Do Banks Pass Through Credit Expansions to Consumers Who Want to Borrow?
w21569 Jeremy C. Stein
Adi Sunderam

Gradualism in Monetary Policy: A Time-Consistency Problem?
w21575 Mete Kilic
Jessica A. Wachter

Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility
w21557 Ravi Jagannathan
Binying Liu

Dividend Dynamics, Learning, and Expected Stock Index Returns
w21528 Ricardo Lagos
Shengxing Zhang

Monetary Exchange in Over-the-Counter Markets: A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises
w21530 Brandon Gipper
Christian Leuz
Mark Maffett

Public Audit Oversight and Reporting Credibility: Evidence from the PCAOB Inspection Regime
w21533 Robert F. Stambaugh
Yu Yuan

Mispricing Factors
w21502 Grace Xing Hu
Jun Pan
Jiang Wang

Tri-Party Repo Pricing
w21512 Sumit Agarwal
Gene Amromin
Souphala Chomsisengphet
Tomasz Piskorski
Amit Seru
Vincent Yao

Mortgage Refinancing, Consumer Spending, and Competition: Evidence from the Home Affordable Refinancing Program
w21495 Robert Shimer
Iván Werning

Efficiency and Information Transmission in Bilateral Trading
w21486 Òscar Jordà
Moritz Schularick
Alan M. Taylor

Leveraged Bubbles
w21480 Joel M. David
Ina Simonovska

Correlated Beliefs, Returns, and Stock Market Volatility
w21487 Frederico Belo
Xiaoji Lin
Jun Li
Xiaofei Zhao

Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor
w21491 Torben G. Andersen
Nicola Fusari
Viktor Todorov

The Pricing of Short-Term market Risk: Evidence from Weekly Options
w21445 Tarek Alexander Hassan
Thomas Mertens
Tony Zhang

Not so Disconnected: Exchange Rates and the Capital Stock
w21449 Mila Getmansky
Peter A. Lee
Andrew W. Lo

Hedge Funds: A Dynamic Industry In Transition
w21462 Pietro Bonaldi
Ali Hortaçsu
Jakub Kastl

An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk
w21421 Adrian Buss
Bernard Dumas

Trading Fees and Slow-Moving Capital
w21386 Steffen Andersen
John Y. Campbell
Kasper Meisner Nielsen
Tarun Ramadorai

Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market
w21369 Jonathan Parker
Why Don't Households Smooth Consumption? Evidence from a 25 Million Dollar Experiment
w21320 Manuel Adelino
Antoinette Schoar
Felipe Severino

Loan Originations and Defaults in the Mortgage Crisis: Further Evidence
w21329 Robert Novy-Marx
Backtesting Strategies Based on Multiple Signals
w21334 Juliane Begenau
Monika Piazzesi
Martin Schneider

Banks' Risk Exposures
w21349 Wolfgang Keller
Carol H. Shiue
Xin Wang

Capital Markets in China and Britain, 18th and 19th Century: Evidence from Grain Prices
w21305 Florentin Butaru
QingQing Chen
Brian Clark
Sanmay Das
Andrew W. Lo
Akhtar Siddique

Risk and Risk Management in the Credit Card Industry
w21281 Honghui Chen
Vijay Singal
Robert F. Whitelaw

Comovement Revisited
w21286 Robert P. Bartlett
III
Justin McCrary

Dark Trading at the Midpoint: Pricing Rules, Order Flow, and High Frequency Liquidity Provision
w21261 Fernando Ferreira
Joseph Gyourko

A New Look at the U.S. Foreclosure Crisis: Panel Data Evidence of Prime and Subprime Borrowers from 1997 to 2012
w21267 Andrew W. Lo
The Gordon Gekko Effect: The Role of Culture in the Financial Industry
w21276 Jeffrey R. Brown
George G. Pennacchi

Discounting Pension Liabilities: Funding versus Value
w21227 Lucian A. Bebchuk
Alon Brav
Wei Jiang

The Long-Term Effects of Hedge Fund Activism
w21234 Jules H. van Binsbergen
Ralph S.J. Koijen

The Term Structure of Returns: Facts and Theory
w21236 Geert Bekaert
Kenton Hoyem
Wei-Yin Hu
Enrichetta Ravina

Who is Internationally Diversified? Evidence from 296 401(k)
w21238 Mark Huggett
Greg Kaplan

How Large is the Stock Component of Human Capital?
w21243 Geetesh Bhardwaj
Gary Gorton
Geert Rouwenhorst

Facts and Fantasies about Commodity Futures Ten Years Later
w21214 Camelia M. Kuhnen
Andrei C. Miu

Socioeconomic Status and Learning from Financial Information
w21224 Erik Eyster
Matthew Rabin
Dimitri Vayanos

Financial Markets where Traders Neglect the Informational Content of Prices
w21201 Miguel Faria-e-Castro
Joseba Martinez
Thomas Philippon

Runs versus Lemons: Information Disclosure and Fiscal Capacity
w21203 Atif Mian
Amir Sufi

Household Debt and Defaults from 2000 to 2010: Facts from Credit Bureau Data
w21162 Hélène Rey
Dilemma not Trilemma: The global Financial Cycle and Monetary Policy Independence
w21166 Harrison Hong
Weikai Li
Sophie X. Ni
Jose A. Scheinkman
Philip Yan

Days to Cover and Stock Returns
w21172 Evgenia Passari
Hélène Rey

Financial Flows and the International Monetary System
w21182 Ian Dew-Becker
Stefano Giglio
Anh Le
Marius Rodriguez

The Price of Variance Risk
w21161 George M. Constantinides
Lei Lian

The Supply and Demand of S&P 500 Put Options
w21112 Hanming Fang
Quanlin Gu
Wei Xiong
Li-An Zhou

Demystifying the Chinese Housing Boom
w21118 Pablo Kurlat
Liquidity as Social Expertise
w21075 Chunxin Jia
Yaping Wang
Wei Xiong

Social Trust and Differential Reactions of Local and Foreign Investors to Public News
w21060 Clemens Sialm
Hanjiang Zhang

Tax-Efficient Asset Management: Evidence from Equity Mutual Funds
w21064 Gian Luca Clementi
Berardino Palazzo

Investment and The Cross-Section of Equity Returns
w21044 Christoph Hambel
Holger Kraft
Eduardo Schwartz

Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change
w21043 Sandra E. Black
Paul J. Devereux
Petter Lundborg
Kaveh Majlesi

Learning to Take Risks? The Effect of Education on Risk-Taking in Financial Markets
w21056 Francesco Bianchi
Rare Events, Financial Crises, and the Cross-Section of Asset Returns
w21054 Karen K. Lewis
Do Foreign Firm Betas Change During Cross-listing?
w21037 Edward L. Glaeser
Charles G. Nathanson

An Extrapolative Model of House Price Dynamics
w21016 Hang Bai
Kewei Hou
Howard Kung
Lu Zhang

The CAPM Strikes Back? An Investment Model with Disasters
w21020 Jeffrey R. Brown
Joshua M. Pollet
Scott J. Weisbenner

The In-State Equity Bias of State Pension Plans
w20968 Denis Gromb
Dimitri Vayanos

The Dynamics of Financially Constrained Arbitrage
w20974 Harrison Hong
Áureo de Paula
Vishal Singh

Hoard Behavior and Commodity Bubbles
w20984 Robert Novy-Marx
Fundamentally, Momentum is Fundamental Momentum
w20985 Robert Novy-Marx
How Can a Q-Theoretic Model Price Momentum?
w20957 Jennifer N. Carpenter
Fangzhou Lu
Robert F. Whitelaw

The Real Value of China's Stock Market
w20963 Stefano Giglio
Bryan T. Kelly
Seth Pruitt

Systemic Risk and the Macroeconomy: An Empirical Evaluation
w20926 Jerry Tsai
Jessica A. Wachter

Disaster Risk and its Implications for Asset Pricing
w20947 Atif R. Mian
Amir Sufi

Fraudulent Income Overstatement on Mortgage Applications during the Credit Expansion of 2002 to 2005
w20913 Fatih Guvenen
Fatih Karahan
Serdar Ozkan
Jae Song

What Do Data on Millions of U.S. Workers Reveal about Life-Cycle Earnings Risk?
w20875 Nicola Gennaioli
Andrei Shleifer
Robert Vishny

Neglected Risks: The Psychology of Financial Crises
w20880 Jia Chen
Kewei Hou
René M. Stulz

Are Firms in "Boring" Industries Worth Less?
w20858 Rui Albuquerque
Martin Eichenbaum
Dimitris Papanikolaou
Sergio Rebelo

Long-run Bulls and Bears
w20848 Manuel Adelino
Antoinette Schoar
Felipe Severino

Loan Originations and Defaults in the Mortgage Crisis: The Role of the Middle Class
w20823 Monika Piazzesi
Martin Schneider
Johannes Stroebel

Segmented Housing Search
w20825 Camelia M. Kuhnen
Paul Oyer

Exploration for Human Capital: Evidence from the MBA Labor Market
w20831 Roger E.A. Farmer
Global Sunspots and Asset Prices in a Monetary Economy
w20834 Miles S. Kimball
Cognitive Economics

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