NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
loading...

NBER Papers on Asset Pricing Program

browse older papers

2020
w26668 Benjamin Loos
Steffen Meyer
Michaela Pagel

The Consumption Effects of the Disposition to Sell Winners and Hold Losers
w26663 Gary B. Gorton
Private Money Production without Banks
w26648 Leland Bybee
Bryan T. Kelly
Asaf Manela
Dacheng Xiu

The Structure of Economic News
w26626 Jun Kyung Auh
Jennie Bai

Cross-Asset Information Synergy in Mutual Fund Families
w26609 Tarek Alexander Hassan
Stephan Hollander
Laurence van Lent
Ahmed Tahoun

The Global Impact of Brexit Uncertainty
w26608 Mark L. Egan
Alexander MacKay
Hanbin Yang

Recovering Investor Expectations from Demand for Index Funds
w26607 Nicolae B. Gârleanu
Stavros Panageas

Heterogeneity and Asset Prices: A Different Approach
w26604 Kyle F. Herkenhoff
Gajendran Raveendranathan

Who Bears the Welfare Costs of Monopoly? The Case of the Credit Card Industry
2019
w26586 Ian Martin
Stefan Nagel

Market Efficiency in the Age of Big Data
w26583 Zhengyang Jiang
Hanno Lustig
Stijn Van Nieuwerburgh
Mindy Z. Xiaolan

The U.S. Public Debt Valuation Puzzle
w26582 Brad M. Barber
Adair Morse
Ayako Yasuda

Impact Investing
w26580 Patrick J. Kehoe
Pierlauro Lopez
Virgiliu Midrigan
Elena Pastorino

Asset Prices and Unemployment Fluctuations
w26576 Claire Yurong Hong
Xiaomeng Lu
Jun Pan

The Economic Impact of Distributing Financial Products on Third-Party Online Platforms
w26575 Zhe Geng
Jun Pan

Price Discovery and Market Segmentation in China's Credit Market
w26560 Josh Davis
Cristian Fuenzalida
Alan M. Taylor

The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r*
w26558 Alessandro Rebucci
Chang Ma

Capital Controls: A Survey of the New Literature
w26549 Lubos Pastor
Robert F. Stambaugh
Lucian A. Taylor

Sustainable Investing in Equilibrium
w26538 Lu Zhang
Q-factors and Investment CAPM
w26535 John H. Cochrane
Rethinking Production Under Uncertainty
w26520 Hui Chen
Zhuo Chen
Zhiguo He
Jinyu Liu
Rengming Xie

Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets
w26517 Bryan T. Kelly
Asaf Manela
Alan Moreira

Text Selection
w26514 Arpit Gupta
Stijn Van Nieuwerburgh

Valuing Private Equity Strip by Strip
w26505 Steven F. Lehrer
Tian Xie
Tao Zeng

Does High Frequency Social Media Data Improve Forecasts of Low Frequency Consumer Confidence Measures?
w26418 Hui Chen
Winston Wei Dou
Leonid Kogan

Measuring "Dark Matter" in Asset Pricing Models
w26497 Christina Atanasova
Eduardo S. Schwartz

Stranded Fossil Fuel Reserves and Firm Value
w26494 Zhiguo He
Paymon Khorrami
Zhaogang Song

Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress
w26493 Alexander M. Chinco
Andreas Neuhierl
Michael Weber

Estimating The Anomaly Base Rate
w26469 Marco Cipriani
Ana Fostel
Daniel Houser

Endogenous Leverage and Default in the Laboratory
w26457 Zhenyu Gao
Michael Sockin
Wei Xiong

Economic Consequences of Housing Speculation
w26447 Bilge Erten
Anton Korinek
José Antonio Ocampo

Capital Controls: Theory and Evidence
w26435 Josh Davis
Alan M. Taylor

The Leverage Factor: Credit Cycles and Asset Returns
w26429 Patrick Augustin
Mikhail Chernov
Lukas Schmid
Dongho Song

Benchmark Interest Rates When the Government is Risky
w26423 Huaizhi Chen
Lauren Cohen
Umit Gurun

Don't Take Their Word For It: The Misclassification of Bond Mutual Funds
w26372 Hang Bai
Erica X.N. Li
Chen Xue
Lu Zhang

Does Costly Reversibility Matter for U.S. Public Firms?
w26370 Itzhak Ben-David
Francesco Franzoni
Rabih Moussawi

An Improved Method to Predict Assignment of Stocks into Russell Indexes
w26369 Valentin Haddad
David A. Sraer

The Banking View of Bond Risk Premia
w26354 Sean Hundtofte
Arna Olafsson
Michaela Pagel

Credit Smoothing
w26344 Charles W. Calomiris
Yehuda Izhakian
Jaime F. Zender

Underwriter Certification, Issuer-Underwriter Matching, and SEO Performance
w26341 Ravi Jagannathan
On Frequent Batch Auctions for Stocks
w26340 Antoine Arnoud
Fatih Guvenen
Tatjana Kleineberg

Benchmarking Global Optimizers
w26330 Thomas Philippon
On Fintech and Financial Inclusion
w26329 Torben G. Andersen
Martin Thyrsgaard
Viktor Todorov

Cross-Sectional Dispersion of Risk in Trading Time
w26323 Ian Dew-Becker
Stefano Giglio
Bryan T. Kelly

Hedging Macroeconomic and Financial Uncertainty and Volatility
w26322 Amine Ouazad
Matthew E. Kahn

Mortgage Finance in the Face of Rising Climate Risk
w26308 Francesco Bianchi
Thilo Kind
Howard Kung

Threats to Central Bank Independence: High-Frequency Identification with Twitter
w26300 Markus K. Brunnermeier
Harold James
Jean-Pierre Landau

The Digitalization of Money
w26290 Carolin Pflueger
Emil Siriwardane
Adi Sunderam

Financial Market Risk Perceptions and the Macroeconomy
w26284 Fatih Guvenen
Gueorgui Kambourov
Burhanettin Kuruscu
Sergio Ocampo-Diaz
Daphne Chen

Use It or Lose It: Efficiency Gains from Wealth Taxation
w26255 Stefan Nagel
Zhengyang Xu

Asset Pricing with Fading Memory
w26248 Ravi Bansal
Mariano Max Croce
Wenxi Liao
Samuel Rosen

Uncertainty-Induced Reallocations and Growth
w26237 Francesco D’Acunto
Ulrike Malmendier
Juan Ospina
Michael Weber

Exposure to Daily Price Changes and Inflation Expectations
w26229 Markus K. Brunnermeier
Ricardo Reis

A Crash Course on the Euro Crisis
w26214 Pierpaolo Benigno
Linda M. Schilling
Harald Uhlig

Cryptocurrencies, Currency Competition, and the Impossible Trinity
w26200 Jessica A. Wachter
Michael Jacob Kahana

A Retrieved-Context Theory Of Financial Decisions
w26186 Zheng Tracy Ke
Bryan T. Kelly
Dacheng Xiu

Predicting Returns With Text Data
w26177 Mariano Max Croce
Thien T. Nguyen
Steve Raymond

Persistent Government Debt and Aggregate Risk Distribution
w26152 Ralph S. J. Koijen
Francois Koulischer
Benoit Nguyen
Motohiro Yogo

Inspecting the Mechanism of Quantitative Easing in the Euro Area
w26147 Marco Di Maggio
Mark L. Egan
Francesco Franzoni

The Value of Intermediation in the Stock Market
w26138 Jules H. van Binsbergen
William F. Diamond
Marco Grotteria

Risk-Free Interest Rates
w26113 Arpit Gupta
Kunal Sachdeva

Skin or Skim? Inside Investment and Hedge Fund Performance
w26112 Frederico Belo
Vito Gala
Juliana Salomao
Maria Ana Vitorino

Decomposing Firm Value
w26109 Joshua Schwartzstein
Adi Sunderam

Using Models to Persuade
w26105 Ivo Welch
Simpler Better Market Betas
w26102 Moritz Lenel
Monika Piazzesi
Martin Schneider

The Short Rate Disconnect in a Monetary Economy
w26090 John H. Cochrane
The Value of Government Debt
w26074 Tri Vi Dang
Gary B. Gorton
Bengt R. Holmstrom

The Information View of Financial Crises
w26062 Justin Birru
Sinan Gokkaya
Xi Liu
René M. Stulz

Are Analyst Trade Ideas Valuable?
w26060 Kewei Hou
Haitao Mo
Chen Xue
Lu Zhang

Security Analysis: An Investment Perspective
w26049 Jonas Heipertz
Amine Ouazad
Romain Rancière

The Transmission of Shocks in Endogenous Financial Networks: A Structural Approach
w26046 Andrew Lilley
Matteo Maggiori
Brent Neiman
Jesse Schreger

Exchange Rate Reconnect
w26029 Michael Bailey
Patrick Farrell
Theresa Kuchler
Johannes Stroebel

Social Connectedness in Urban Areas
w26027 Robert F. Stambaugh
Skill and Fees in Active Management
w26026 Joseba Martinez
Thomas Philippon
Markus Sihvonen

Does a Currency Union Need a Capital Market Union? Risk Sharing via Banks and Markets
w26009 Wenxin Du
Benjamin M. Hébert
Amy Wang Huber

Are Intermediary Constraints Priced?
w25995 Jennie Bai
Turan G. Bali
Quan Wen

In Search of Systematic Risk and the Idiosyncratic Volatility Puzzle in the Corporate Bond Market
w25979 Charles W. Calomiris
Mauricio Larrain
Sergio L. Schmukler
Tomas Williams

Search for Yield in Large International Corporate Bonds: Investor Behavior and Firm Responses
w25977 Ricardo J. Caballero
Alp Simsek

Prudential Monetary Policy
w25972 Sida Li
Xin Wang
Mao Ye

Who Provides Liquidity, and When?
w25967 David Card
Stefano DellaVigna
Patricia Funk
Nagore Iriberri

Are Referees and Editors in Economics Gender Neutral?
w25966 Andra C. Ghent
What's Wrong with Pittsburgh? Delegated Investors and Liquidity Concentration
w25959 Gabriel Chodorow-Reich
Plamen T. Nenov
Alp Simsek

Stock Market Wealth and the Real Economy: A Local Labor Market Approach
w25906 Jack Favilukis
Pierre Mabille
Stijn Van Nieuwerburgh

Affordable Housing and City Welfare
w25887 Jérôme Dugast
Semih Üslü
Pierre-Olivier Weill

A Theory of Participation in OTC and Centralized Markets
w25882 Yukun Liu
Aleh Tsyvinski
Xi Wu

Common Risk Factors in Cryptocurrency
w25877 Markus K. Brunnermeier
Dirk Niepelt

On the Equivalence of Private and Public Money
w25869 Nicolas Crouzet
Janice C. Eberly

Understanding Weak Capital Investment: the Role of Market Concentration and Intangibles
w25855 Eric Budish
Robin S. Lee
John J. Shim

A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?
w25843 Michael Bailey
Drew M. Johnston
Theresa Kuchler
Johannes Stroebel
Arlene Wong

Peer Effects in Product Adoption
w25817 Grace Xing Hu
Jun Pan
Jiang Wang
Haoxiang Zhu

Premium for Heightened Uncertainty: Solving the FOMC Puzzle
w25814 Eliezer Fich
Viktoriya Lantushenko
Clemens Sialm

Institutional Trading Around M&A Announcements
w25811 John H. Cochrane
The Fiscal Roots of Inflation
w25807 Stefan Nagel
Amiyatosh Purnanandam

Bank Risk Dynamics and Distance to Default
w25782 Pierre-Olivier Gourinchas
Hélène Rey
Maxime Sauzet

The International Monetary and Financial System
w25781 Lars Peter Hansen
Thomas J. Sargent

Macroeconomic Uncertainty Prices when Beliefs are Tenuous
w25777 Aydoğan Alti
Sheridan Titman

A Dynamic Model of Characteristic-Based Return Predictability
w25775 Markus K. Brunnermeier
Simon C. Rother
Isabel Schnabel

Asset Price Bubbles and Systemic Risk
w25774 Lubos Pastor
Robert F. Stambaugh

Liquidity Risk After 20 Years
w25769 Daniel L. Greenwald
Martin Lettau
Sydney C. Ludvigson

How the Wealth Was Won: Factors Shares as Market Fundamentals
w25764 Eric T. Swanson
Implications of Labor Market Frictions for Risk Aversion and Risk Premia
w25751 Kelly Shue
Richard R. Townsend

Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets
w25747 Robin Greenwood
Samuel G. Hanson
Lawrence J. Jin

Reflexivity in Credit Markets
w25744 Stefano Giglio
Matteo Maggiori
Johannes Stroebel
Stephen Utkus

Five Facts About Beliefs and Portfolios
w25734 Robert F. Engle III
Stefano Giglio
Bryan T. Kelly
Heebum Lee
Johannes Stroebel

Hedging Climate Change News
w25720 Scott R. Baker
Nicholas Bloom
Steven J. Davis
Kyle J. Kost

Policy News and Stock Market Volatility
w25714 Charles W. Calomiris
Harry Mamaysky

Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes
w25702 Itzhak Ben-David
Pascal Towbin
Sebastian Weber

Expectations During the U.S. Housing Boom: Inferring Beliefs from Actions
w25701 Amine Ouazad
Romain Rancière

Market Frictions, Arbitrage, and the Capitalization of Amenities
w25690 Ravi Bansal
Shane Miller
Dongho Song
Amir Yaron

The Term Structure of Equity Risk Premia
w25686 Richard B. Berner
Stephen G. Cecchetti
Kermit L. Schoenholtz

Stress Testing Networks: The Case of Central Counterparties
w25677 Shan Ge
Michael S. Weisbach

The Role of Financial Conditions in Portfolio Choices: The Case of Insurers
w25673 Geert Bekaert
Eric C. Engstrom
Nancy R. Xu

The Time Variation in Risk Appetite and Uncertainty
w25667 Zheng Liu
Pengfei Wang
Tao Zha

A Theory of Housing Demand Shocks
w25662 Eduardo Dávila
Cecilia Parlatore

Trading Costs and Informational Efficiency
w25653 Òscar Jordà
Moritz Schularick
Alan M. Taylor

The Total Risk Premium Puzzle
w25649 Itamar Drechsler
Alexi Savov
Philipp Schnabl

How Monetary Policy Shaped the Housing Boom
w25633 M. Max Croce
Tatyana Marchuk
Christian Schlag

The Leading Premium
w25603 Hongye Guo
Jessica A. Wachter

"Superstitious" Investors
w25592 Lin William Cong
Zhiguo He
Jiasun Li

Decentralized Mining in Centralized Pools
w25583 Ana Fostel
John Geanakoplos
Gregory Phelan

Global Collateral and Capital Flows
w25579 Matti Keloharju
Juhani T. Linnainmaa
Peter Nyberg

Long-Term Discount Rates Do Not Vary Across Firms
w25573 Hui Chen
Scott Joslin
Sophie X. Ni

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
w25567 John Gathergood
David Hirshleifer
David Leake
Hiroaki Sakaguchi
Neil Stewart

Naïve *Buying* Diversification and Narrow Framing by Individual Investors
w25566 Bing Han
David Hirshleifer
Johan Walden

Visibility Bias in the Transmission of Consumption Beliefs and Undersaving
w25559 Stephen G. Dimmock
Neng Wang
Jinqiang Yang

The Endowment Model and Modern Portfolio Theory
w25551 Sina Ehsani
Juhani T. Linnainmaa

Factor Momentum and the Momentum Factor
w25549 Marlene Amstad
Zhiguo He

Chinese Bond Market and Interbank Market
w25542 Steffen Meyer
Michaela Pagel

Fully Closed: Individual Responses to Realized Gains and Losses
w25519 John B. Donaldson
Rajnish Mehra

Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion
w25505 Ernest Liu
Atif Mian
Amir Sufi

Low Interest Rates, Market Power, and Productivity Growth
w25496 Francesco D’Acunto
Daniel Hoang
Maritta Paloviita
Michael Weber

IQ, Expectations, and Choice
w25481 Guanhao Feng
Stefano Giglio
Dacheng Xiu

Taming the Factor Zoo: A Test of New Factors
w25477 Ana Babus
Kinda Cheryl Hachem

Markets for Financial Innovation
w25469 Emmanuel Farhi
Matteo Maggiori

China vs. U.S.: IMS Meets IPS
w25456 Isaiah Andrews
Toru Kitagawa
Adam McCloskey

Inference on Winners
w25450 Barney Hartman-Glaser
Benjamin M. Hébert

The Insurance is the Lemon: Failing to Index Contracts
w25449 Arash Aloosh
Geert Bekaert

Currency Factors
w25448 Pietro Veronesi
Heterogeneous Households under Uncertainty
w25433 Eduardo Dávila
Cecilia Parlatore

Volatility and Informativeness
w25422 Urban Jermann
Negative Swap Spreads and Limited Arbitrage
w25421 Joao Ayres
Marcio Garcia
Diogo A. Guillén
Patrick J. Kehoe

The Monetary and Fiscal History of Brazil, 1960-2016
w25420 Geert Bekaert
George Panayotov

Good Carry, Bad Carry

browse older papers


Generated on Mon Jan 20 00:00:12 2020

 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

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

Contact Us