NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Papers in Asset Pricing


2014
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 Dimitri Vayanos
Peter Kondor

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?


2013
w19738 Krislert Samphantharak
Robert Townsend

Risk and Return in Village Economies

w19728 Jennie Bai
Thomas Philippon
Alexi Savov

Have Financial Markets Become More Informative?

w19714 Nicholas Bloom
Fluctuations in Uncertainty

w19706 Conghui Hu
Wei Xiong

Are Commodity Futures Prices Barometers of the Global Economy?

w19705 Pierre Collin-Dufresne
Michael Johannes
Lars A. Lochstoer

Parameter Learning in General Equilibrium: The Asset Pricing Implications

w19704 Javier Bianchi
Enrique G. Mendoza

Optimal Time-Consistent Macroprudential Policy

w19684 Efstathios Avdis
Jessica A. Wachter

Maximum likelihood estimation of the equity premium

w19681 Andrea Frazzini
David Kabiller
Lasse H. Pedersen

Buffett’s Alpha

w19670 Ing-Haw Cheng
Wei Xiong

Why Do Hedgers Trade So Much?

w19650 Alessandro Beber
Michael W. Brandt
Maurizio Luisi

Distilling the Macroeconomic News Flow

w19643 Jakub W. Jurek
Erik Stafford

The Cost of Capital for Alternative Investments

w19642 Ing-Haw Cheng
Wei Xiong

The Financialization of Commodity Markets

w19633 William Gornall
Ilya A. Strebulaev

Financing as a Supply Chain: The Capital Structure of Banks and Borrowers

w19625 Charles W. Calomiris
Jonathan Pritchett

Betting on Secession: Quantifying Political Events Surrounding Slavery and the Civil War

w19623 Hanno Lustig
Andreas Stathopoulos
Adrien Verdelhan

The Term Structure of Currency Carry Trade Risk Premia

w19619 Pierre Collin-Dufresne
Vyacheslav Fos

Moral Hazard, Informed Trading, and Stock Prices

w19612 Morten Sorensen
Neng Wang
Jinqiang Yang

Valuing Private Equity

w19611 Sang Byung Seo
Jessica A. Wachter

Option Prices in a Model with Stochastic Disaster Risk

w19606 Sumit Agarwal
Itzhak Ben-David
Vincent Yao

Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market

w19590 Byeong-Je An
Andrew Ang
Turan G. Bali
Nusret Cakici

The Joint Cross Section of Stocks and Options

w19570 Clemens Sialm
Zheng Sun
Lu Zheng

Home Bias and Local Contagion: Evidence from Funds of Hedge Funds

w19569 Clemens Sialm
Laura Starks
Hanjiang Zhang

Defined Contribution Pension Plans: Sticky or Discerning Money?

w19568 Ralph S.J. Koijen
Motohiro Yogo

Shadow Insurance

w19564 Li Gan
Qinghua Zhang

Market Thickness and the Impact of Unemployment on Housing Market Outcomes

w19541 Larry G. Epstein
Emmanuel Farhi
Tomasz Strzalecki

How Much Would You Pay to Resolve Long-Run Risk?

w19531 Yacine Aït-Sahalia
Mehmet Saglam

High Frequency Traders: Taking Advantage of Speed

w19523 Linda S. Goldberg
Christian Grisse

Time Variation in Asset Price Responses to Macro Announcements

w19517 Keith Brown
Cristian Tiu

The Interaction of Spending Policies, Asset Allocation Strategies, and Investment Performance at University Endowment Funds

w19514 Markus K. Brunnermeier
Martin Oehmke

Predatory Short Selling

w19500 Kent Smetters
Xingtan Zhang

A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks

w19476 John H. Cochrane
The New-Keynesian Liquidity Trap

w19466 Bryan Kelly
Hanno Lustig
Stijn Van Nieuwerburgh

Firm Volatility in Granular Networks

w19460 Turan G. Bali
Nusret Cakici
Robert F. Whitelaw

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

w19459 Andrew Ang
Richard C. Green
Yuhang Xing

Advance Refundings of Municipal Bonds

w19456 Kyle Jurado
Sydney C. Ludvigson
Serena Ng

Measuring Uncertainty

w19436 Andrew Ang
Dimitris Papanikolaou
Mark Westerfield

Portfolio Choice with Illiquid Assets

w19429 Lauren Cohen
Dong Lou
Christopher Malloy

Playing Favorites: How Firms Prevent the Revelation of Bad News

w19421 Hui Chen
Michael Michaux
Nikolai Roussanov

Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty

w19417 Paul Asquith
Thom Covert
Parag Pathak

The Effects of Mandatory Transparency in Financial Market Design: Evidence from the Corporate Bond Market

w19416 Ian Dew-Becker
Stefano Giglio

Asset Pricing in the Frequency Domain: Theory and Empirics

w19400 Yuming Fu
Wenlan Qian
Bernard Yeung

Speculative Investors and Tobin’s Tax in the Housing Market

w19389 Arvind Krishnamurthy
Stefan Nagel

Interpreting Repo Statistics in the Flow of Funds Accounts

w19383 Avanidhar Subrahmanyam
Sheridan Titman

Financial Market Shocks and the Macroeconomy

w19382 Zheng Liu
Jianjun Miao
Tao Zha

Land Prices and Unemployment

w19381 Nicolae Gârleanu
Stavros Panageas
Jianfeng Yu

Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion

w19375 Bryan Kelly
Hao Jiang

Tail Risk and Asset Prices

w19371 Robert Ready
Nikolai Roussanov
Colin Ward

Commodity Trade and the Carry Trade: a Tale of Two Countries

w19362 Anton Korinek
Enrique G. Mendoza

From Sudden Stops to Fisherian Deflation: Quantitative Theory and Policy Implications

w19360 David Backus
Mikhail Chernov
Stanley E. Zin

Identifying Taylor Rules in Macro-Finance Models

w19358 Ulf Brüggemann
Aditya Kaul
Christian Leuz
Ingrid M. Werner

The Twilight Zone: OTC Regulatory Regimes and Market Quality

w19354 Bo Zhao
Rational Housing Bubble

w19349 Wayne E. Ferson
Jerchern Lin

Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity

w19347 Arthur Korteweg
Stefan Nagel

Risk-Adjusting the Returns to Venture Capital

w19343 Harald Uhlig
Sovereign Default Risk and Banks in a Monetary Union

w19330 Yihui Pan
Tracy Yue Wang
Michael S. Weisbach

CEO Investment Cycles

w19327 Chong Wang
Neng Wang
Jinqiang Yang

Investment, Tobin's q, and Interest Rates

w19325 Ralph S.J. Koijen
Tobias J. Moskowitz
Lasse Heje Pedersen
Evert B. Vrugt

Carry

w19309 Andrew Ang
Assaf A. Shtauber
Paul C. Tetlock

Asset Pricing in the Dark: The Cross Section of OTC Stocks

w19292 Gary B. Gorton
Andrew Metrick

The Federal Reserve and Financial Regulation: The First Hundred Years

w19290 Yen-cheng Chang
Harrison Hong
Inessa Liskovich

Regression Discontinuity and the Price Effects of Stock Market Indexing

w19284 Luigi Guiso
Paola Sapienza
Luigi Zingales

Time Varying Risk Aversion

w19258 Robert J. Barro
Environmental Protection, Rare Disasters, and Discount Rates

w19246 Robin Greenwood
Samuel Hanson

Waves in Ship Prices and Investment

w19240 Pierre-Olivier Gourinchas
Hélène Rey

External Adjustment, Global Imbalances and Valuation Effects

w19238 Matthias Fleckenstein
Francis A. Longstaff
Hanno Lustig

Deflation Risk

w19208 Nicolas Petrosky-Nadeau
Lu Zhang

Solving the DMP Model Accurately

w19207 Nicolas Petrosky-Nadeau
Lu Zhang

Unemployment Crises

w19204 Andrew G. Atkeson
Andrea L. Eisfeldt
Pierre-Olivier Weill

Measuring the Financial Soundness of U.S. Firms, 1926–2012

w19194 Andrew Ang
Neil Nabar
Sam Wald

Search for a Common Factor in Public and Private Real Estate Returns

w19189 Nicholas Barberis
Robin Greenwood
Lawrence Jin
Andrei Shleifer

X-CAPM: An Extrapolative Capital Asset Pricing Model

w19167 Gonzalo Cortazar
Ivo Kovacevic
Eduardo S. Schwartz

Commodity and Asset Pricing Models: An Integration

w19156 David S. Scharfstein
Adi Sunderam

Concentration in Mortgage Lending, Refinancing Activity and Mortgage Rates

w19155 Adrian Buss
Bernard Dumas

Financial-market Equilibrium with Friction

w19146 Rajnish Mehra
Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy

w19117 Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny

Finance and the Preservation of Wealth

w19103 Robin L. Lumsdaine
Rogier J.D. Potter van Loon

Wall Street vs. Main Street: An Evaluation of Probabilities

w19095 Lieven Baele
Geert Bekaert
Koen Inghelbrecht
Min Wei

Flights to Safety

w19068 Elena Asparouhova
Peter Bossaerts
Nilanjan Roy
William Zame

'Lucas' In The Laboratory

w19065 Nicole M. Aulerich
Scott H. Irwin
Philip Garcia

Bubbles, Food Prices, and Speculation: Evidence from the CFTC’s Daily Large Trader Data Files

w19056 James D. Hamilton
Jing Cynthia Wu

Risk Premia in Crude Oil Futures Prices

w19039 Viral V. Acharya
Sascha Steffen

The “Greatest” Carry Trade Ever? Understanding Eurozone Bank Risks

w19037 Eugenio S. A. Bobenrieth
Juan R. A. Bobenrieth
Brian D. Wright

Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices.

w19030 Andrew Ang
Bingxu Chen
Suresh Sundaresan

Liability Investment with Downside Risk

w18995 Geert Bekaert
Marie Hoerova

The VIX, the Variance Premium and Stock Market Volatility

w18984 Karthik Balakrishnan
Mary B. Billings
Bryan T. Kelly
Alexander Ljungqvist

Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

w18954 S. Boraǧan Aruoba
Francis X. Diebold
Jeremy Nalewaik
Frank Schorfheide
Dongho Song

Improving GDP Measurement: A Measurement-Error Perspective

w18951 Christopher R. Knittel
Robert S. Pindyck

The Simple Economics of Commodity Price Speculation

w18944 John H. Cochrane
Finance: Function Matters, not Size.

w18922 Stéphane Guibaud
Yves Nosbusch
Dimitri Vayanos

Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt

w18914 Stefano Giglio
Kelly Shue

No News is News: Do Markets Underreact to Nothing?

w18912 Andrew G. Atkeson
Andrea L. Eisfeldt
Pierre-Olivier Weill

The Market for OTC Derivatives

w18906 Michael Sockin
Wei Xiong

Informational Frictions and Commodity Markets

w18905 Wei Xiong
Bubbles, Crises, and Heterogeneous Beliefs

w18904 Ing-Haw Cheng
Sahil Raina
Wei Xiong

Wall Street and the Housing Bubble

w18903 Jongha Lim
Berk A. Sensoy
Michael S. Weisbach

Indirect Incentives of Hedge Fund Managers

w18882 Yihui Pan
Tracy Yue Wang
Michael S. Weisbach

Learning about CEO Ability and Stock Return Volatility

w18870 Ulrich Mueller
Mark W. Watson

Measuring Uncertainty about Long-Run Prediction

w18860 Yuriy Gorodnichenko
Michael Weber

Are Sticky Prices Costly? Evidence From The Stock Market

w18845 Peter Koudijs
'Those Who Know Most': Insider Trading in 18th c. Amsterdam

w18844 Martin Lettau
Matteo Maggiori
Michael Weber

Conditional Risk Premia in Currency Markets and Other Asset Classes

w18843 Tomasz Piskorski
Amit Seru
James Witkin

Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market

w18836 Holger Kraft
Eduardo S. Schwartz
Farina Weiss

Growth Options and Firm Valuation

w18831 Peter Koudijs
The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment

w18774 Urban Jermann
A Production-Based Model for the Term Structure

w18768 John H. Cochrane
A Mean-Variance Benchmark for Intertemporal Portfolio Theory

w18764 Veronika K. Pool
Clemens Sialm
Irina Stefanescu

It Pays to Set the Menu: Mutual Fund Investment Options in 401(k) Plans

w18759 Robert J. Barro
Sanjay P. Misra

Gold Returns

w18732 Gary B. Gorton
Guillermo Ordoñez

The Supply and Demand for Safe Assets

w18725 Jacob Boudoukh
Ronen Feldman
Shimon Kogan
Matthew Richardson

Which News Moves Stock Prices? A Textual Analysis

w18724 Robert L. McDonald
Measuring Margin

w18708 Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer

Salience and Asset Prices

w18706 Claude B. Erb
Campbell R. Harvey

The Golden Dilemma

w18667 Karl E. Case
John M. Quigley
Robert J. Shiller

Wealth Effects Revisited: 1975-2012

w18686 Robin Greenwood
Andrei Shleifer

Expectations of Returns and Expected Returns

w18680 James J. Choi
Li Jin
Hongjun Yan

Informed Trading and Expected Returns

w18671 Leonid Kogan
Dimitris Papanikolaou
Noah Stoffman

Technological Innovation: Winners and Losers


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