NBER Papers on Asset Pricing

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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

How Financial Management Affects Institutional Investors' Portfolio Choices: Evidence from 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
w25410 Matteo Maggiori
Brent Neiman
Jesse Schreger

The Rise of the Dollar and Fall of the Euro as International Currencies
w25407 Joseph Abadi
Markus Brunnermeier

Blockchain Economics
w25406 Markus K. Brunnermeier
Yann Koby

The Reversal Interest Rate
w25399 Pedro Bordalo
Nicola Gennaioli
Spencer Yongwook Kwon
Andrei Shleifer

Diagnostic Bubbles
w25398 Shihao Gu
Bryan Kelly
Dacheng Xiu

Empirical Asset Pricing via Machine Learning
w25386 Francesco Bianchi
Howard Kung
Mikhail Tirskikh

The Origins and Effects of Macroeconomic Uncertainty
w25381 Martin Lettau
Sydney C. Ludvigson
Paulo Manoel

Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
w25373 Markus K. Brunnermeier
Lunyang Huang

A Global Safe Asset for and from Emerging Market Economies
w25361 Mikhail Chernov
Lars A. Lochstoer
Stig R. H. Lundeby

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off
w25353 Samuel P. Fraiberger
Do Lee
Damien Puy
Romain Rancière

Media Sentiment and International Asset Prices
w25346 Kent Daniel
Alexander Klos
Simon Rottke

Overconfidence, Information Diffusion, and Mispricing Persistence
w25344 Kent Daniel
Lorenzo Garlappi
Kairong Xiao

Monetary Policy and Reaching for Income
w25340 Javier Bianchi
Jorge Mondragon

Monetary Independence and Rollover Crises
w25337 Anil K. Kashyap
Natalia Kovrijnykh
Jian Li
Anna Pavlova

The Benchmark Inclusion Subsidy
w25336 Itzhak Ben-David
Elyas Fermand
Camelia M. Kuhnen
Geng Li

Expectations Uncertainty and Household Economic Behavior
w25323 Sandeep Dahiya
David Yermack

Investment Returns and Distribution Policies of Non-Profit Endowment Funds
w25317 Harjoat S. Bhamra
Christian Dorion
Alexandre Jeanneret
Michael Weber

Low Inflation: High Default Risk AND High Equity Valuations
w25300 Hanming Fang
Zhe Li
Nianhang Xu
Hongjun Yan

In the Shadows of the Government: Relationship Building During Political Turnovers
w25297 Chang Liu
Wei Xiong

China's Real Estate Market
w25296 Wei Xiong
The Mandarin Model of Growth
w25285 Josue Cox
Sydney C. Ludvigson

Drivers of the Great Housing Boom-Bust: Credit Conditions, Beliefs, or Both?
w25282 Emmanuel Farhi
François Gourio

Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia
w25277 João F. Gomes
Marco Grotteria
Jessica Wachter

Foreseen Risks
w25276 Riccardo Colacito
Mariano Max Croce
Yang Liu
Ivan Shaliastovich

Volatility Risk Pass-through
w25269 John Ameriks
Gábor Kézdi
Minjoon Lee
Matthew D. Shapiro

Heterogeneity in Expectations, Risk Tolerance, and Household Stock Shares: The Attenuation Puzzle
w25239 Ricardo Lagos
Shengxing Zhang

A Monetary Model of Bilateral Over-the-Counter Markets
w25216 Matthias Fleckenstein
Francis A. Longstaff

Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes
w25210 Eduardo Dávila
Cecilia Parlatore

Identifying Price Informativeness
w25207 Brian Boyer
Taylor D. Nadauld
Keith P. Vorkink
Michael S. Weisbach

Private Equity Indices Based on Secondary Market Transactions
w25206 Mikhail Chernov
Drew D. Creal

International Yield Curves and Currency Puzzles
w25201 Usman Ali
David Hirshleifer

Shared Analyst Coverage: Unifying Momentum Spillover Effects
w25200 Daniel J. Benjamin
Errors in Probabilistic Reasoning and Judgment Biases
w25194 Malcolm Baker
Daniel Bergstresser
George Serafeim
Jeffrey Wurgler

Financing the Response to Climate Change: The Pricing and Ownership of U.S. Green Bonds
w25180 Jing Cynthia Wu
Fan Dora Xia

Negative Interest Rate Policy and the Yield Curve
w25140 Jose Pizarro
Eduardo S. Schwartz

The Valuation of Fisheries Rights: A Real Options Approach
w25127 Jordan Brooks
Michael Katz
Hanno Lustig

Post-FOMC Announcement Drift in U.S. Bond Markets
w25122 Klaus Adam
Dmitry Matveev
Stefan Nagel

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?
w25113 Simon Oh
Jessica A. Wachter

Cross-sectional Skewness
w25108 Maarten Meeuwis
Jonathan A. Parker
Antoinette Schoar
Duncan I. Simester

Belief Disagreement and Portfolio Choice
w25106 Ricardo Lagos
Shengxing Zhang

Turnover Liquidity and the Transmission of Monetary Policy
w25104 Sergey Chernenko
Adi Sunderam

Do Fire Sales Create Externalities?
w25092 Robert J. Hodrick
Tuomas Tomunen

Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications
w25090 Manuel Adelino
Antoinette Schoar
Felipe Severino

Perception of House Price Risk and Homeownership
w25085 Andrea L. Eisfeldt
Yu Shi

Capital Reallocation
w25084 Lauren Cohen
Christopher Malloy
Quoc Nguyen

Lazy Prices
w25072 Jonathan Chapman
Erik Snowberg
Stephanie Wang
Colin Camerer

Loss Attitudes in the U.S. Population: Evidence from Dynamically Optimized Sequential Experimentation (DOSE)
w25056 Nikolai Roussanov
Hongxun Ruan
Yanhao Wei

Marketing Mutual Funds
w25054 Efraim Benmelech
Nittai Bergman

Debt, Information, and Illiquidity
w25046 Robert L. McDonald
Thomas A. Rietz

Ratings and Asset Allocation: An Experimental Analysis
w25040 Jiangze Bian
Zhiguo He
Kelly Shue
Hao Zhou

Leverage-Induced Fire Sales and Stock Market Crashes
w25032 Anna Cieslak
Andreas Schrimpf

Non-Monetary News in Central Bank Communication
w25031 Sergio Rebelo
Neng Wang
Jinqiang Yang

Rare Disasters, Financial Development, and Sovereign Debt
w25019 James J. Choi
Adriana Z. Robertson

What Matters to Individual Investors? Evidence from the Horse's Mouth
w25016 Refet S. Gürkaynak
Burçin Kısacıkoğlu
Jonathan H. Wright

Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises
w24998 Peter Koudijs
Laura Salisbury
Gurpal Sran

For Richer, for Poorer: Bankers' Liability and Risk-taking in New England, 1867-1880
w24973 Gabriel Chodorow-Reich
Andra Ghent
Valentin Haddad

Asset Insulators
w24972 Hengjie Ai
Anmol Bhandari

Asset Pricing with Endogenously Uninsurable Tail Risk
w24967 Francis X. Diebold
Minchul Shin

Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives
w24956 Julien Hugonnier
Benjamin Lester
Pierre-Olivier Weill

Frictional Intermediation in Over-the-counter Markets
w24932 Pedro Bordalo
Nicola Gennaioli
Yueran Ma
Andrei Shleifer

Over-reaction in Macroeconomic Expectations
w24900 Lubos Pastor
Pietro Veronesi

Inequality Aversion, Populism, and the Backlash Against Globalization
w24898 John Y. Campbell
Tarun Ramadorai
Benjamin Ranish

Do the Rich Get Richer in the Stock Market? Evidence from India
w24881 Theresa Kuchler
Michaela Pagel

Sticking to Your Plan: The Role of Present Bias for Credit Card Paydown
w24866 Gary Gorton
Toomas Laarits
Andrew Metrick

The Run on Repo and the Fed's Response
w24858 Martin Lettau
Markus Pelger

Factors that Fit the Time Series and Cross-Section of Stock Returns
w24823 Atif Mian
Amir Sufi

Credit Supply and Housing Speculation
w24801 Huaizhi Chen
Lauren Cohen
Umit Gurun
Dong Lou
Christopher Malloy

IQ from IP: Simplifying Search in Portfolio Choice
w24797 Stefano DellaVigna
Structural Behavioral Economics
w24781 Erik Snowberg
Leeat Yariv

Testing the Waters: Behavior across Participant Pools
w24767 Andreas Fuster
Ricardo Perez-Truglia
Mirko Wiederholt
Basit Zafar

Expectations with Endogenous Information Acquisition: An Experimental Investigation
w24765 Marcin Kacperczyk
Savitar Sundaresan
Tianyu Wang

Do Foreign Investors Improve Market Efficiency?
w24757 Vadim Elenev
Tim Landvoigt
Stijn Van Nieuwerburgh

A Macroeconomic Model with Financially Constrained Producers and Intermediaries
w24748 Andreas Neuhierl
Michael Weber

Monetary Momentum
w24730 Ralph Koijen
Stijn Van Nieuwerburgh

Financing the War on Cancer
w24723 Nicholas C. Barberis
Psychology-based Models of Asset Prices and Trading Volume
w24722 Miles S. Kimball
Matthew D. Shapiro
Tyler Shumway
Jing Zhang

Portfolio Rebalancing in General Equilibrium
w24717 Eric Budish
The Economic Limits of Bitcoin and the Blockchain
w24709 Kewei Hou
Haitao Mo
Chen Xue
Lu Zhang

w24706 Andrew G. Atkeson
Adrien d'Avernas
Andrea L. Eisfeldt
Pierre-Olivier Weill

Government Guarantees and the Valuation of American Banks
w24697 Ulrike Malmendier
Demian Pouzo
Victoria Vanasco

Investor Experiences and Financial Market Dynamics
w24677 Òscar Jordà
Moritz Schularick
Alan M. Taylor
Felix Ward

Global Financial Cycles and Risk Premiums
w24676 David Hirshleifer
Danling Jiang
Yuting Meng

Mood Betas and Seasonalities in Stock Returns
w24673 Matteo Maggiori
Brent Neiman
Jesse Schreger

International Currencies and Capital Allocation
w24648 Benjamin Lester
Ali Shourideh
Venky Venkateswaran
Ariel Zetlin-Jones

Market-making with Search and Information Frictions
w24646 Luis M. Viceira
Zixuan (Kevin) Wang

Global Portfolio Diversification for Long-Horizon Investors
w24621 Melvin Stephens Jr.
Desmond Toohey

Changes in Nutrient Intake at Retirement
w24618 Martin Lettau
Markus Pelger

Estimating Latent Asset-Pricing Factors
w24604 Christoph Hambel
Holger Kraft
Eduardo S. Schwartz

The Carbon Abatement Game
w24595 Joshua L. Krieger
Danielle Li
Dimitris Papanikolaou

Missing Novelty in Drug Development
w24586 Christopher Hansman
Harrison Hong
Wenxi Jiang
Yu-Jane Liu
Juan-Juan Meng

Riding the Credit Boom
w24582 Itamar Drechsler
Alexi Savov
Philipp Schnabl

Banking on Deposits: Maturity Transformation without Interest Rate Risk
w24575 George O. Aragon
Rajnish Mehra
Sunil Wahal

Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets
w24569 Christopher Busch
David Domeij
Fatih Guvenen
Rocio Madera

Asymmetric Business-Cycle Risk and Social Insurance
w24563 Mikhail Chernov
Drew D. Creal

Multihorizon Currency Returns and Purchasing Power Parity
w24552 Yong Chen
Bryan Kelly
Wei Wu

Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment
w24550 Juliane Begenau
Maryam Farboodi
Laura Veldkamp

Big Data in Finance and the Growth of Large Firms
w24549 Mathias Drehmann
Mikael Juselius
Anton Korinek

Going With the Flows: New Borrowing, Debt Service and the Transmission of Credit Booms
w24545 George-Marios Angeletos
Zhen Huo

Myopia and Anchoring
w24542 Lauren H. Cohen
Umit G. Gurun

Buying the Verdict
w24540 Bryan Kelly
Seth Pruitt
Yinan Su

Characteristics Are Covariances: A Unified Model of Risk and Return
w24529 Carolin Pflueger
Emil Siriwardane
Adi Sunderam

A Measure of Risk Appetite for the Macroeconomy
w24509 Juan Ospina
Harald Uhlig

Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem
w24506 Patrick Augustin
Mikhail Chernov
Dongho Song

Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads
w24483 Linda Schilling
Harald Uhlig

Some Simple Bitcoin Economics
w24458 Jianan Liu
Robert F. Stambaugh
Yu Yuan

Size and Value in China
w24446 Adam M. Guren
Arvind Krishnamurthy
Timothy J. McQuade

Mortgage Design in an Equilibrium Model of the Housing Market
w24439 Zhengyang Jiang
Arvind Krishnamurthy
Hanno Lustig

Foreign Safe Asset Demand and the Dollar Exchange Rate
w24432 Jessica A. Wachter
Yicheng Zhu

The Macroeconomic Announcement Premium
w24430 Charles W. Calomiris
Harry Mamaysky

How News and Its Context Drive Risk and Returns Around the World
w24415 Zhiguo He
Arvind Krishnamurthy

Intermediary Asset Pricing and the Financial Crisis
w24406 Arun G. Chandrasekhar
Robert Townsend
Juan Pablo Xandri

Financial Centrality and Liquidity Provision
w24405 Arna Olafsson
Michaela Pagel

The Retirement-Consumption Puzzle: New Evidence from Personal Finances
w24400 Ricardo J. Caballero
Alp Simsek

Reach for Yield and Fickle Capital Flows
w24399 Lin William Cong
Zhiguo He

Blockchain Disruption and Smart Contracts
w24388 Wolfgang Keller
Carol H. Shiue
Xin Wang

Capital Markets and Grain Prices: Assessing the Storage Approach
w24373 Alexandr Kopytov
Nikolai Roussanov
Mathieu Taschereau-Dumouchel

Short-Run Pain, Long-Run Gain? Recessions and Technological Transformation
w24362 Julian Kozlowski
Laura Veldkamp
Venky Venkateswaran

The Tail that Keeps the Riskless Rate Low
w24346 Grace Xing Hu
Jun Pan
Jiang Wang

Chinese Capital Market: An Empirical Overview
w24325 Ambrogio Cesa-Bianchi
M. Hashem Pesaran
Alessandro Rebucci

Uncertainty and Economic Activity: A Multi-Country Perspective
w24322 Atif R. Mian
Amir Sufi

Finance and Business Cycles: The Credit-Driven Household Demand Channel
w24320 Nelson Camanho
Harald Hau
Hélène Rey

Global Portfolio Rebalancing and Exchange Rates
w24298 Gary B. Gorton
Toomas Laarits

Collateral Damage
w24297 Kenneth R. Ahern
Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades
w24293 David Hirshleifer
Yaron Levi
Ben Lourie
Siew Hong Teoh

Decision Fatigue and Heuristic Analyst Forecasts
w24281 Bing Han
David Hirshleifer
Johan Walden

Social Transmission Bias and Investor Behavior
w24270 Söhnke M. Bartram
Gregory W. Brown
René M. Stulz

Why has Idiosyncratic Risk been Historically Low in Recent Years?
w24262 Marco Di Maggio
Amir Kermani
Kaveh Majlesi

Stock Market Returns and Consumption
w24261 Roger Farmer
Pricing Assets in a Perpetual Youth Model
w24258 Daniel R. Feenberg
Clinton Tepper
Ivo Welch

Are Interest Rates Really Low?
w24250 Martin Lettau
Ananth Madhavan

Exchange Traded Funds 101 For Economists
w24237 Roni Michaely
Stefano Rossi
Michael Weber

The Information Content of Dividends: Safer Profits, Not Higher Profits
w24230 Zheng Michael Song
Wei Xiong

Risks in China's Financial System
w24224 Matthias Fleckenstein
Francis A. Longstaff

Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints
w24222 Pierre Collin-Dufresne
Kent D. Daniel
Mehmet Saǧlam

Liquidity Regimes and Optimal Dynamic Asset Allocation
w24213 Antje Berndt
Rohan Douglas
Darrell Duffie
Mark Ferguson

Corporate Credit Risk Premia
w24182 Ralph Koijen
Motohiro Yogo

The Fragility of Market Risk Insurance
w24180 Manuel Adelino
Kristopher Gerardi
Barney Hartman-Glaser

Are Lemons Sold First? Dynamic Signaling in the Mortgage Market

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