NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Papers in Asset Pricing


2015
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

w21349 Wolfgang Keller
Carol H. Shiue
Xin Wang

Capital Markets in China and Britain, 18th and 19th Century: Evidence from Grain Prices

w21334 Juliane Begenau
Monika Piazzesi
Martin Schneider

Banks' Risk Exposures

w21329 Robert Novy-Marx
Backtesting Strategies Based on Multiple Signals

w21320 Manuel Adelino
Antoinette Schoar
Felipe Severino

Loan Originations and Defaults in the Mortgage Crisis: Further Evidence

w21305 Florentin Butaru
QingQing Chen
Brian Clark
Sanmay Das
Andrew W. Lo
Akhtar Siddique

Risk and Risk Management in the Credit Card Industry

w21286 Robert P. Bartlett
III
Justin McCrary

Dark Trading at the Midpoint: Pricing Rules, Order Flow, and High Frequency Liquidity Provision

w21281 Honghui Chen
Vijay Singal
Robert F. Whitelaw

Comovement Revisited

w21276 Jeffrey R. Brown
George G. Pennacchi

Discounting Pension Liabilities: Funding versus Value

w21267 Andrew W. Lo
The Gordon Gekko Effect: The Role of Culture in the Financial Industry

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

w21243 Geetesh Bhardwaj
Gary Gorton
Geert Rouwenhorst

Facts and Fantasies about Commodity Futures Ten Years Later

w21238 Mark Huggett
Greg Kaplan

How Large is the Stock Component of Human Capital?

w21236 Geert Bekaert
Kenton Hoyem
Wei-Yin Hu
Enrichetta Ravina

Who is Internationally Diversified? Evidence from 296 401(k)

w21234 Jules H. van Binsbergen
Ralph S.J. Koijen

The Term Structure of Returns: Facts and Theory

w21227 Lucian A. Bebchuk
Alon Brav
Wei Jiang

The Long-Term Effects of Hedge Fund Activism

w21224 Erik Eyster
Matthew Rabin
Dimitri Vayanos

Financial Markets where Traders Neglect the Informational Content of Prices

w21214 Camelia M. Kuhnen
Andrei C. Miu

Socioeconomic Status and Learning from Financial Information

w21203 Atif Mian
Amir Sufi

Household Debt and Defaults from 2000 to 2010: Facts from Credit Bureau Data

w21201 Miguel Faria-e-Castro
Joseba Martinez
Thomas Philippon

Runs versus Lemons: Information Disclosure and Fiscal Capacity

w21182 Ian Dew-Becker
Stefano Giglio
Anh Le
Marius Rodriguez

The Price of Variance Risk

w21172 Evgenia Passari
Hélène Rey

Financial Flows and the International Monetary System

w21166 Harrison Hong
Weikai Li
Sophie X. Ni
Jose A. Scheinkman
Philip Yan

Days to Cover and Stock Returns

w21162 Hélène Rey
Dilemma not Trilemma: The global Financial Cycle and Monetary Policy Independence

w21161 George M. Constantinides
Lei Lian

The Supply and Demand of S&P 500 Put Options

w21118 Pablo Kurlat
Liquidity as Social Expertise

w21112 Hanming Fang
Quanlin Gu
Wei Xiong
Li-An Zhou

Demystifying the Chinese Housing Boom

w21075 Chunxin Jia
Yaping Wang
Wei Xiong

Social Trust and Differential Reactions of Local and Foreign Investors to Public News

w21064 Gian Luca Clementi
Berardino Palazzo

Investment and The Cross-Section of Equity Returns

w21060 Clemens Sialm
Hanjiang Zhang

Tax-Efficient Asset Management: Evidence from Equity Mutual Funds

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?

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

w21037 Edward L. Glaeser
Charles G. Nathanson

An Extrapolative Model of House Price Dynamics

w21020 Jeffrey R. Brown
Joshua M. Pollet
Scott J. Weisbenner

The In-State Equity Bias of State Pension Plans

w21016 Hang Bai
Kewei Hou
Howard Kung
Lu Zhang

The CAPM Strikes Back? An Investment Model with Disasters

w20985 Robert Novy-Marx
How Can a Q-Theoretic Model Price Momentum?

w20984 Robert Novy-Marx
Fundamentally, Momentum is Fundamental Momentum

w20974 Harrison Hong
Áureo de Paula
Vishal Singh

Hoard Behavior and Commodity Bubbles

w20968 Denis Gromb
Dimitri Vayanos

The Dynamics of Financially Constrained Arbitrage

w20963 Stefano Giglio
Bryan T. Kelly
Seth Pruitt

Systemic Risk and the Macroeconomy: An Empirical Evaluation

w20957 Jennifer N. Carpenter
Fangzhou Lu
Robert F. Whitelaw

The Real Value of China's Stock Market

w20947 Atif R. Mian
Amir Sufi

Fraudulent Income Overstatement on Mortgage Applications during the Credit Expansion of 2002 to 2005

w20926 Jerry Tsai
Jessica A. Wachter

Disaster Risk and its Implications for Asset Pricing

w20913 Fatih Guvenen
Fatih Karahan
Serdar Ozkan
Jae Song

What Do Data on Millions of U.S. Workers Reveal about Life-Cycle Earnings Risk?

w20880 Jia Chen
Kewei Hou
René M. Stulz

Are Firms in "Boring" Industries Worth Less?

w20875 Nicola Gennaioli
Andrei Shleifer
Robert Vishny

Neglected Risks: The Psychology of Financial Crises

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

w20834 Miles S. Kimball
Cognitive Economics

w20831 Roger E.A. Farmer
Global Sunspots and Asset Prices in a Monetary Economy

w20825 Camelia M. Kuhnen
Paul Oyer

Exploration for Human Capital: Evidence from the MBA Labor Market

w20823 Monika Piazzesi
Martin Schneider
Johannes Stroebel

Segmented Housing Search


2014
w20815 Matti Keloharju
Juhani T. Linnainmaa
Peter Nyberg

Common Factors in Return Seasonalities

w20814 Benjamin Golez
Peter Koudijs

Four Centuries of Return Predictability

w20813 Boyan Jovanovic
Viktor Tsyrennikov

Trading on Sunspots

w20803 Markus K. Brunnermeier
Yuliy Sannikov

International Credit Flows and Pecuniary Externalities

w20777 Sergey Chernenko
Samuel G. Hanson
Adi Sunderam

The Rise and Fall of Demand for Securitizations

w20776 Christopher L. Culp
Yoshio Nozawa
Pietro Veronesi

Option-Based Credit Spreads

w20771 Òscar Jordà
Moritz HP. Schularick
Alan M. Taylor

Betting the House

w20769 Joel M. David
Espen Henriksen
Ina Simonovska

The Risky Capital of Emerging Markets

w20762 Patrick Bayer
Fernando Ferreira
Stephen L. Ross

Race, Ethnicity and High-Cost Mortgage Lending

w20746 Julien Hugonnier
Benjamin Lester
Pierre-Olivier Weill

Heterogeneity in Decentralized Asset Markets

w20744 Martin Lettau
Sydney C. Ludvigson
Sai Ma

Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing

w20726 Laura Alfaro
Anusha Chari
Fabio Kanczuk

The Real Effects of Capital Controls: Financial Constraints, Exporters, and Firm Investment

w20721 Robert Novy-Marx
Mihail Velikov

A Taxonomy of Anomalies and their Trading Costs

w20712 Stephen Foerster
Juhani T. Linnainmaa
Brian T. Melzer
Alessandro Previtero

Retail Financial Advice: Does One Size Fit All?

w20700 Lubos Pastor
Robert F. Stambaugh
Lucian A. Taylor

Do Funds Make More When They Trade More?

w20691 Markus K. Brunnermeier
Alp Simsek
Wei Xiong

A Welfare Criterion for Models with Distorted Beliefs

w20682 Kewei Hou
Chen Xue
Lu Zhang

A Comparison of New Factor Models

w20678 Anisha Ghosh
George M. Constantinides

Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes

w20674 Yihui Pan
Tracy Yue Wang
Michael S. Weisbach

Does Uncertainty about Management Affect Firms’ Costs of Borrowing?

w20665 Daron Acemoglu
Tarek A. Hassan
Ahmed Tahoun

The Power of the Street: Evidence from Egypt's Arab Spring

w20660 Benjamin Chabot
Eric Ghysels
Ravi Jagannathan

Momentum Trading, Return Chasing, and Predictable Crashes

w20652 Robert J. Barro
Andrew Mollerus

Safe Assets

w20651 Zhi Da
Ravi Jagannathan
Jianfeng Shen

Growth Expectations, Dividend Yields, and Future Stock Returns

w20638 Hui Chen
Rui Cui
Zhiguo He
Konstantin Milbradt

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

w20623 Veronica Guerrieri
Robert Shimer

Markets with Multidimensional Private Information

w20620 Darrell Duffie
Piotr Dworczak
Haoxiang Zhu

Benchmarks in Search Markets

w20616 George Alessandria
Horag Choi
Joseph P. Kaboski
Virgiliu Midrigan

Microeconomic Uncertainty, International Trade, and Aggregate Fluctuations

w20613 John H. Cochrane
Monetary Policy with Interest on Reserves

w20610 Patrick Bolton
Neng Wang
Jinqiang Yang

Investment Under Uncertainty and the Value of Real and Financial Flexibility

w20608 Benjamin Lester
Guillaume Rocheteau
Pierre-Olivier Weill

Competing for Order Flow in OTC Markets

w20592 Campbell R. Harvey
Yan Liu
Heqing Zhu

. . . and the Cross-Section of Expected Returns

w20591 Robert Novy-Marx
Understanding Defensive Equity

w20589 Francis Longstaff
Valuing Thinly-Traded Assets

w20588 Songzi Du
Haoxiang Zhu

Welfare and Optimal Trading Frequency in Dynamic Double Auctions

w20560 Fatih Guvenen
Greg Kaplan
Jae Song

The Glass Ceiling and The Paper Floor: Gender Differences among Top Earners, 1981-2012

w20540 Darrell Duffie
Piotr Dworczak

Robust Benchmark Design

w20421 David Chambers
Elroy Dimson
Justin Foo

Keynes, King's and Endowment Asset Management

w20516 Nicolas S. Lambert
Michael Ostrovsky
Mikhail Panov

Strategic Trading in Informationally Complex Environments

w20486 Eric T. Swanson
John C. Williams

Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates

w20480 Andrea M. Buffa
Dimitri Vayanos
Paul Woolley

Asset Management Contracts and Equilibrium Prices

w20459 Asaf Bernstein
Eric Hughson
Marc D. Weidenmier

Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse

w20445 Anna Orlik
Laura Veldkamp

Understanding Uncertainty Shocks and the Role of Black Swans

w20440 William Goetzmann
Elena Mamonova
Christophe Spaenjers

The Economics of Aesthetics and Three Centuries of Art Price Records

w20439 Kent Daniel
Tobias J. Moskowitz

Momentum Crashes

w20437 Lorenz Kueng
Tax News: Identifying Tax Expectations from Municipal Bonds with an Application to Household Consumption

w20435 Jonathan B. Berk
Jules H. van Binsbergen

Assessing Asset Pricing Models Using Revealed Preference

w20433 Kent Daniel
Robert J. Hodrick
Zhongjin Lu

The Carry Trade: Risks and Drawdowns

w20419 Gara Afonso
Ricardo Lagos

Trade Dynamics in the Market for Federal Funds

w20418 Sheridan Titman
Ko Wang
Jing Yang

The Dynamics of Housing Prices

w20416 Andrew G. Atkeson
Andrea L. Eisfeldt
Pierre-Olivier Weill

Entry and Exit in OTC Derivatives Markets

w20408 Cristian Badarinza
John Y. Campbell
Tarun Ramadorai

What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages

w20394 Lars Peter Hansen
Uncertainty Outside and Inside Economic Models

w20391 Peter Benczur
Cosmin L. Ilut

Evidence for Relational Contracts in Sovereign Bank Lending

w20377 Jianjun Miao
Pengfei Wang
Tao Zha

Liquidity Premia, Price-Rent Dynamics, and Business Cycles

w20345 Alberto Bisin
Piero Gottardi
Guido Ruta

Equilibrium Corporate Finance and Intermediation

w20339 Jens Hilscher
Alon Raviv
Ricardo Reis

Inflating Away the Public Debt? An Empirical Assessment

w20335 Alan Moreira
Alexi Savov

The Macroeconomics of Shadow Banking

w20319 David Backus
Axelle Ferriere
Stanley Zin

Risk and Ambiguity in Models of Business Cycles

w20303 Frank Schorfheide
Dongho Song
Amir Yaron

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

w20298 Lorenz Kueng
Evgeny Yakovlev

How Persistent Are Consumption Habits? Micro-Evidence from Russia

w20294 Tarek A. Hassan
Rui C. Mano

Forward and Spot Exchange Rates in a Multi-currency World

w20287 Morris A. Davis
Stijn Van Nieuwerburgh

Housing, Finance and the Macroeconomy

w20282 Itamar Drechsler
Qingyi Freda Drechsler

The Shorting Premium and Asset Pricing Anomalies

w20268 Bruce I. Carlin
Li Jiang
Stephen A. Spiller

Learning Millennial-Style

w20265 Stefan Nagel
The Liquidity Premium of Near-Money Assets

w20254 Efraim Benmelech
Nittai Bergman
Anna Milanez
Vladimir Mukharlyamov

The Agglomeration of Bankruptcy

w20246 Marcin Kacperczyk
Jaromir B. Nosal
Luminita Stevens

Investor Sophistication and Capital Income Inequality

w20245 Esben Hedegaard
Robert J. Hodrick

Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

w20224 Mark Gertler
Peter Karadi

Monetary Policy Surprises, Credit Costs and Economic Activity

w20210 Frederico Belo
Xiaoji Lin
Fan Yang

External Equity Financing Shocks, Financial Flows, and Asset Prices

w20209 Jaroslav Borovička
Lars P. Hansen
José A. Scheinkman

Misspecified Recovery

w20199 David le Bris
William N. Goetzmann
Sébastien Pouget

Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946

w20193 Tarek A. Hassan
Thomas M. Mertens

Information Aggregation in a DSGE Model

w20190 Daniel Andrei
Bruce Carlin
Michael Hasler

Model Disagreement and Economic Outlook

w20187 Jaewon Choi
Matthew P. Richardson
Robert F. Whitelaw

On the Fundamental Relation Between Equity Returns and Interest Rates

w20176 Stephen G. Dimmock
William C. Gerken
Zoran Ivković
Scott J. Weisbenner

Capital Gains Lock-In and Governance Choices

w20154 Stefano Giglio
Matteo Maggiori
Johannes Stroebel

No-Bubble Condition: Model-free Tests in Housing Markets

w20141 Itamar Drechsler
Alexi Savov
Philipp Schnabl

A Model of Monetary Policy and Risk Premia

w20138 Jonathan B. Berk
Jules H. van Binsbergen
Binying Liu

Matching Capital and Labor

w20133 Stefano Giglio
Matteo Maggiori
Johannes Stroebel

Very Long-Run Discount Rates

w20115 Drew D. Creal
Jing Cynthia Wu

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility

w20117 Jing Cynthia Wu
Fan Dora Xia

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

w20110 George M. Constantinides
Anisha Ghosh

Asset Pricing with Countercyclical Household Consumption Risk

w20104 Jaroslav Borovička
Lars P. Hansen
Jose A. Scheinkman

Shock Elasticities and Impulse Responses

w20081 Francesco Bianchi
Cosmin L. Ilut
Martin Schneider

Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle

w20076 Bernard Herskovic
Bryan T. Kelly
Hanno Lustig
Stijn Van Nieuwerburgh

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

w20073 Greg Kaplan
Giovanni L. Violante
Justin Weidner

The Wealthy Hand-to-Mouth

w20072 Robert F. Stambaugh
Investment Noise and Trends

w20071 Itzhak Ben-David
Francesco Franzoni
Rabih Moussawi

Do ETFs Increase Volatility?

w20070 John Y. Campbell
Carolin Pflueger
Luis M. Viceira

Monetary Policy Drivers of Bond and Equity Risks

w20062 Jerry Tsai
Jessica A. Wachter

Rare Booms and Disasters in a Multi-sector Endowment Economy

w20044 Jess Benhabib
Pengfei Wang

Private Information and Sunspots in Sequential Asset Markets

w20027 Gary B. Gorton
Andrew Metrick
Lei Xie

The Flight from Maturity

w20018 Devin Bunten
Matthew E. Kahn

The Impact of Emerging Climate Risks on Urban Real Estate Price Dynamics

w20009 Patrick Bolton
Hui Chen
Neng Wang

Debt, Taxes, and Liquidity

w20000 John Y. Campbell
Tarun Ramadorai
Benjamin Ranish

Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience

w19985 Anne-Laure Delatte
Julien Fouquau
Richard Portes

Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts

w19984 Nicole Boyson
Rüdiger Fahlenbrach
René M. Stulz

Why Do Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust Preferred Securities

w19981 Jordi Gali
Luca Gambetti

The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence

w19975 David Yermack
Yehuda Izhakian

Risk, Ambiguity, and the Exercise of Employee Stock Options

w19974 Yongheng Deng
Xin Liu
Shang-Jin Wei

One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility?

w19969 Esben Hedegaard
Robert J. Hodrick

Estimating the Risk-Return Trade-off with Overlapping Data Inference

w19957 Peter Koudijs
Hans-Joachim Voth

Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending

w19931 Péter Kondor
Dimitri Vayanos

Liquidity Risk and the Dynamics of Arbitrage Capital

w19927 Ricardo J. Caballero
Emmanuel Farhi

The Safety Trap

w19917 Jack Favilukis
Sydney C. Ludvigson
Stijn Van Nieuwerburgh

Foreign Ownership of U.S. Safe Assets: Good or Bad?

w19892 James D. Hamilton
Jing Cynthia Wu

Effects of Index-Fund Investing on Commodity Futures Prices

w19891 Lubos Pastor
Robert F. Stambaugh
Lucian A. Taylor

Scale and Skill in Active Management

w19890 Darrell Duffie
Martin Scheicher
Guillaume Vuillemey

Central Clearing and Collateral Demand

w19887 Mervyn King
David Low

Measuring the ''World'' Real Interest Rate

w19875 Pablo Kurlat
Johannes Stroebel

Testing for Information Asymmetries in Real Estate Markets

w19871 Robert E. Hall
High Discounts and High Unemployment

w19864 Fatih Guvenen
Greg Kaplan
Jae Song

How Risky Are Recessions for Top Earners?

w19854 Xavier Gabaix
Matteo Maggiori

International Liquidity and Exchange Rate Dynamics

w19834 Alexander Ljungqvist
Wenlan Qian

How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation

w19818 Daniel L. Greenwald
Martin Lettau
Sydney C. Ludvigson

Origins of Stock Market Fluctuations

w19817 Alex Chinco
Christopher Mayer

Misinformed Speculators and Mispricing in the Housing Market

w19812 Bryan Kelly
Lubos Pastor
Pietro Veronesi

The Price of Political Uncertainty: Theory and Evidence from the Option Market

w19798 Hyun-Soo Choi
Harrison Hong
Jeffrey Kubik
Jeffrey P. Thompson

When Real Estate is the Only Game in Town

w19788 Elias Albagli
Christian Hellwig
Aleh Tsyvinski

Dynamic Dispersed Information and the Credit Spread Puzzle

w19786 Geert Bekaert
Campbell R. Harvey
Christian T. Lundblad
Stephan Siegel

Political Risk Spreads

w19778 Roger K. Loh
René M. Stulz

Is Sell-Side Research More Valuable in Bad Times?


Generated Sun Aug 2 00:00:45 2015

 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us