NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Papers in Asset Pricing


2016
w21945 Kent Daniel
David Hirshleifer

Overconfident Investors, Predictable Returns, and Excessive Trading

w21944 Nicholas Barberis
Robin Greenwood
Lawrence Jin
Andrei Shleifer

Extrapolation and Bubbles

w21920 Zhiguo He
Bryan Kelly
Asaf Manela

Intermediary Asset Pricing: New Evidence from Many Asset Classes

w21919 Zhiguo He
Konstantin Milbradt

Dynamic Debt Maturity

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

w21888 Robert J. Barro
Gordon Y. Liao

Options-Pricing Formula with Disaster Risk

w21879 David López-Salido
Jeremy C. Stein
Egon Zakrajšek

Credit-Market Sentiment and the Business Cycle

w21871 Robert J. Barro
Tao Jin

Rare Events and Long-Run Risks

w21863 James D. Hamilton
Macroeconomic Regimes and Regime Shifts

w21852 Hélène Rey
International Channels of Transmission of Monetary Policy and the Mundellian Trilemma

w21848 Xavier Gabaix
Behavioral Macroeconomics Via Sparse Dynamic Programming


2015
w21817 Nicolas Coeurdacier
Hélène Rey
Pablo Winant

Financial Integration and Growth in a Risky World

w21816 Eric T. Swanson
Measuring the Effects of Unconventional Monetary Policy on Asset Prices

w21750 Robin Greenwood
Samuel Hanson
Dimitri Vayanos

Forward Guidance in the Yield Curve: Short Rates versus Bond Supply

w21804 Andrea Eisfeldt
Andrew Demers

Rental Yields and HPA: The Returns to Single Family Rentals

w21803 Sydney C. Ludvigson
Sai Ma
Serena Ng

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

w21795 Carola Frydman
Dimitris Papanikolaou

In Search of Ideas: Technological Innovation and Executive Pay Inequality

w21772 Lorenz Kueng
Explaining Consumption Excess Sensitivity with Near-Rationality: Evidence from Large Predetermined Payments

w21771 Francisco Barillas
Jay Shanken

Comparing Asset Pricing Models

w21767 Stefano Giglio
Matteo Maggiori
Johannes Stroebel
Andreas Weber

Climate Change and Long-Run Discount Rates: Evidence from Real Estate

w21749 Ralph S.J. Koijen
Motohiro Yogo

An Equilibrium Model of Institutional Demand and Asset Prices

w21739 Francesco Trebbi
Kairong Xiao

Regulation and Market Liquidity

w21731 Darrell Duffie
Lei Qiao
Yeneng Sun

Dynamic Directed Random Matching

w21722 Silvia Miranda-Agrippino
Hélène Rey

World Asset Markets and the Global Financial Cycle

w21700 William Goetzmann
Simon Huang

Momentum in Imperial Russia

w21698 Francisco Barillas
Jay Shanken

Which Alpha?

w21696 Darrell Duffie
Haoxiang Zhu

Size Discovery

w21694 Sebastian Edwards
Francis A. Longstaff
Alvaro Garcia Marin

The U.S. Debt Restructuring of 1933: Consequences and Lessons

w21693 William N. Goetzmann
Bubble Investing: Learning from History

w21686 Felipe S. Iachan
Plamen T. Nenov
Alp Simsek

The Choice Channel of Financial Innovation

w21673 Joseph S. Briggs
David Cesarini
Erik Lindqvist
Robert Östling

Windfall Gains and Stock Market Participation

w21670 Ricardo J. Caballero
Emmanuel Farhi
Pierre-Olivier Gourinchas

Global Imbalances and Currency Wars at the ZLB.

w21668 Lubos Pastor
Pietro Veronesi

Income Inequality and Asset Prices under Redistributive Taxation

w21633 Scott R. Baker
Nicholas Bloom
Steven J. Davis

Measuring Economic Policy Uncertainty

w21626 Vadim Elenev
Tim Landvoigt
Stijn Van Nieuwerburgh

Phasing Out the GSEs

w21584 Yacine Aït-Sahalia
Dacheng Xiu

Principal Component Analysis of High Frequency Data

w21581 Atif R. Mian
Amir Sufi
Emil Verner

Household Debt and Business Cycles Worldwide

w21575 Mete Kilic
Jessica A. Wachter

Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor MarketVolatility

w21569 Jeremy C. Stein
Adi Sunderam

Gradualism in Monetary Policy: A Time-Consistency Problem?

w21567 Sumit Agarwal
Souphala Chomsisengphet
Neale Mahoney
Johannes Stroebel

Do Banks Pass Through Credit Expansions? The Marginal Profitability of Consumer Lending During the Great Recession

w21563 Nicolae B. Gârleanu
Lasse H. Pedersen

Efficiently Inefficient Markets for Assets and Asset Management

w21557 Ravi Jagannathan
Binying Liu

Dividend Dynamics, Learning, and Expected Stock Index Returns

w21533 Robert F. Stambaugh
Yu Yuan

Mispricing Factors

w21530 Brandon Gipper
Christian Leuz
Mark Maffett

Public Audit Oversight and Reporting Credibility: Evidence from the PCAOB Inspection Regime

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

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

w21502 Grace Xing Hu
Jun Pan
Jiang Wang

Tri-Party Repo Pricing

w21495 Robert Shimer
Iván Werning

Efficiency and Information Transmission in Bilateral Trading

w21491 Torben G. Andersen
Nicola Fusari
Viktor Todorov

The Pricing of Short-Term market Risk: Evidence from Weekly Options

w21487 Frederico Belo
Xiaoji Lin
Jun Li
Xiaofei Zhao

Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor

w21486 Òscar Jordà
Moritz Schularick
Alan M. Taylor

Leveraged Bubbles

w21480 Joel M. David
Ina Simonovska

Correlated Beliefs, Returns, and Stock Market Volatility

w21462 Pietro Bonaldi
Ali Hortaçsu
Jakub Kastl

An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk

w21449 Mila Getmansky
Peter A. Lee
Andrew W. Lo

Hedge Funds: A Dynamic Industry In Transition

w21445 Tarek Alexander Hassan
Thomas Mertens
Tony Zhang

Not so Disconnected: Exchange Rates and the Capital Stock

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

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


Generated Sun Feb 7 00:00:26 2016

 
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