NBER Papers on Asset Pricing

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w23324 Fatih Guvenen
Raymond J. Mataloni
Dylan G. Rassier
Kim J. Ruhl

Offshore Profit Shifting and Domestic Productivity Measurement
w23310 Irem Demirci
Jennifer Huang
Clemens Sialm

Government Debt and Corporate Leverage: International Evidence
w23311 Eric T. Swanson
Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets
w23317 Mike Anderson
René M. Stulz

Is Post-Crisis Bond Liquidity Lower?
w23293 Vahid Gholampour
Eric van Wincoop

What can we Learn from Euro-Dollar Tweets?
w23266 Manuel Amador
Javier Bianchi
Luigi Bocola
Fabrizio Perri

Exchange Rate Policies at the Zero Lower Bound
w23274 Azi Ben-Rephael
Bruce I. Carlin
Zhi Da
Ryan D. Israelsen

Demand for Information and Asset Pricing
w23276 Matthew Gentzkow
Bryan T. Kelly
Matt Taddy

Text as Data
w23245 Nuno Coimbra
Hélène Rey

Financial Cycles with Heterogeneous Intermediaries
w23249 Juliane Begenau
Berardino Palazzo

Firm Selection and Corporate Cash Holdings
w23256 Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer

Memory, Attention, and Choice
w23225 Sydney C. Ludvigson
Sai Ma
Serena Ng

Shock Restricted Structural Vector-Autoregressions
w23226 Lu Zhang
The Investment CAPM
w23227 Joachim Freyberger
Andreas Neuhierl
Michael Weber

Dissecting Characteristics Nonparametrically
w23228 Ulrike Malmendier
Stefan Nagel
Zhen Yan

The Making of Hawks and Doves: Inflation Experiences on the FOMC
w23231 Kurt F. Lewis
Francis A. Longstaff
Lubomir Petrasek

Asset Mispricing
w23234 Maryam Farboodi
Gregor Jarosch
Robert Shimer

The Emergence of Market Structure
w23238 Jules H. van Binsbergen
Christian C. Opp

Real Anomalies
w23191 Robin Greenwood
Andrei Shleifer
Yang You

Bubbles for Fama
w23194 Markus K. Brunnermeier
Michael Sockin
Wei Xiong

China's Gradualistic Economic Approach and Financial Markets
w23170 Wenxin Du
Alexander Tepper
Adrien Verdelhan

Deviations from Covered Interest Rate Parity
w23184 Lubos Pastor
Pietro Veronesi

Political Cycles and Stock Returns
w23163 Fatih Guvenen
Sam Schulhofer-Wohl
Jae Song
Motohiro Yogo

Worker Betas: Five Facts about Systematic Earnings Risk
w23140 Mert Demirer
Francis X. Diebold
Laura Liu
Kamil Yılmaz

Estimating Global Bank Network Connectedness
w23152 Alexander Wagner
Richard J. Zeckhauser
Alexandre Ziegler

Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade
w23168 Eleanor W. Dillon
Christopher T. Stanton

Self-Employment Dynamics and the Returns to Entrepreneurship
w23124 Geert Bekaert
Arnaud Mehl

On the Global Financial Market Integration "Swoosh" and the Trilemma
w23115 Briana Chang
Harrison Hong

Assignment of Stock Market Coverage
w23065 Karen K. Lewis
Edith X. Liu

Disaster Risk and Asset Returns: An International Perspective
w23083 Thomas Philippon
Pierre Pessarossi
Boubacar Camara

Backtesting European Stress Tests
w23040 Ioannis Branikas
Harrison Hong
Jiangmin Xu

Location Choice, Portfolio Choice
w23028 Camelia M. Kuhnen
Brian T. Melzer

Non-Cognitive Abilities and Financial Delinquency: The Role of Self-Efficacy in Avoiding Financial Distress
w23030 Charles G. Nathanson
Eric Zwick

Arrested Development: Theory and Evidence of Supply-Side Speculation in the Housing Market
w22991 Gonzalo Cortazar
Cristobal Millard
Hector Ortega
Eduardo S. Schwartz

Commodity Price Forecasts, Futures Prices and Pricing Models
w23009 Ravi Bansal
Marcelo Ochoa
Dana Kiku

Climate Change and Growth Risks
w22979 John H. Cochrane
Stepping on a Rake: Replication and Diagnosis
w22982 Joseph Gerakos
Juhani T. Linnainmaa
Adair Morse

Asset Managers: Institutional Performance and Smart Betas
w22958 Cosmin L. Ilut
Hikaru Saijo

Learning, Confidence, and Business Cycles
w22905 Tano Santos
Pietro Veronesi

Habits and Leverage
w22914 Erik Gilje
Robert Ready
Nikolai Roussanov

Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution
w22878 Daniel Green
Brian T. Melzer
Jonathan A. Parker
Arcenis Rojas

Accelerator or Brake? Cash for Clunkers, Household Liquidity, and Aggregate Demand
w22882 Paolo Sodini
Stijn Van Nieuwerburgh
Roine Vestman
Ulf von Lilienfeld-Toal

Identifying the Benefits from Home Ownership: A Swedish Experiment
w22890 Harrison Hong
Frank Weikai Li
Jiangmin Xu

Climate Risks and Market Efficiency
w22893 Kerry Back
Pierre Collin-Dufresne
Vyacheslav Fos
Tao Li
Alexander Ljungqvist

Activism, Strategic Trading, and Liquidity
w22894 Juhani T. Linnainmaa
Michael R. Roberts

The History of the Cross Section of Stock Returns
w22897 Germán Gutiérrez
Thomas Philippon

Investment-less Growth: An Empirical Investigation
w22839 Geert Bekaert
Eric Engstrom
Andrey Ermolov

Macro Risks and the Term Structure of Interest Rates
w22851 Peter Diep
Andrea L. Eisfeldt
Scott Richardson

Prepayment Risk and Expected MBS Returns
w22829 Itzhak Ben-David
Francesco Franzoni
Rabih Moussawi

Exchange Traded Funds (ETFs)
w22831 Andreas Neuhierl
Michael Weber

Monetary Policy and the Stock Market: Time-Series Evidence
w22795 Kent D. Daniel
Robert B. Litterman
Gernot Wagner

Applying Asset Pricing Theory to Calibrate the Price of Climate Risk
w22793 Ari Levine
Yao Hua Ooi
Matthew Richardson

Commodities for the Long Run
w22799 Peter DeMarzo
Zhiguo He

Leverage Dynamics without Commitment
w22774 Nathan Foley-Fisher
Borghan Narajabad
Stephane Verani

Securities Lending as Wholesale Funding: Evidence from the U.S. Life Insurance Industry
w22787 Gary Gorton
Guillermo Ordoñez

Fighting Crises
w22789 Edward Glaeser
Wei Huang
Yueran Ma
Andrei Shleifer

A Real Estate Boom with Chinese Characteristics
w22790 Tarek A. Hassan
Thomas M. Mertens
Tony Zhang

Currency Manipulation
w22751 Ricardo J. Caballero
Alp Simsek

A Model of Fickle Capital Flows and Retrenchment
w22763 Samuel G. Hanson
David S. Scharfstein
Adi Sunderam

Fiscal Risk and the Portfolio of Government Programs
w22743 Òscar Jordà
Moritz Schularick
Alan M. Taylor

Macrofinancial History and the New Business Cycle Facts
w22729 Arvind Krishnamurthy
Jennie Bai
Charles-Henri Weymuller

Measuring Liquidity Mismatch in the Banking Sector
w22723 Sang Byung Seo
Jessica A. Wachter

Do Rare Events Explain CDX Tranche Spreads?
w22695 Matthew Baron
Wei Xiong

Credit Expansion and Neglected Crash Risk
w22697 Nicolae Gârleanu
Stavros Panageas
Jianfeng Yu

Impediments to Financial Trade: Theory and Applications
w22634 Assaf Hamdani
Eugene Kandel
Yevgeny Mugerman
Yishay Yafeh

Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment
w22638 Marco Di Maggio
Amir Kermani
Christopher Palmer

How Quantitative Easing Works: Evidence on the Refinancing Channel
w22651 Barney Hartman-Glaser
Hanno Lustig
Mindy X. Zhang

Capital Share Dynamics When Firms Insure Managers
w22618 Pierre-Olivier Gourinchas
Hélène Rey

Real Interest Rates, Imbalances and the Curse of Regional Safe Asset Providers at the Zero Lower Bound
w22614 Patrick Kehoe
Elena Pastorino
Virgiliu Midrigan

Debt Constraints and Employment
w22615 Francis X. Diebold
Frank Schorfheide
Minchul Shin

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
w22619 Gary Gorton
Tyler Muir

Mobile Collateral versus Immobile Collateral
w22592 Wenxin Du
Carolin E. Pflueger
Jesse Schreger

Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
w22599 Gary Gorton
Ping He

Optimal Monetary Policy in a Collateralized Economy
w22605 Francis Larson
John A. List
Robert D. Metcalfe

Can Myopic Loss Aversion Explain the Equity Premium Puzzle? Evidence from a Natural Field Experiment with Professional Traders
w22556 Kirk Hamilton
John F. Helliwell
Michael Woolcock

Social Capital, Trust and Well-being in the Evaluation of Wealth
w22563 Francesco D’Acunto
Daniel Hoang
Michael Weber

The Effect of Unconventional Fiscal Policy on Consumption Expenditure
w22572 Francesco Bianchi
Martin Lettau
Sydney C. Ludvigson

Monetary Policy and Asset Valuation
w22576 Jacob Boudoukh
Jordan Brooks
Matthew Richardson
Zhikai Xu

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds
w22516 Francis X. Diebold
Minchul Shin

Assessing Point Forecast Accuracy by Stochastic Error Distance
w22520 Michael Weber
Cash Flow Duration and the Term Structure of Equity Returns
w22527 Hengjie Ai
Ravi Bansal

Risk Preferences and The Macro Announcement Premium
w22551 Robert P. Bartlett
Justin McCrary

How Rigged Are Stock Markets?: Evidence From Microsecond Timestamps
w22529 Ravi Bansal
Dana Kiku
Marcelo Ochoa

Price of Long-Run Temperature Shifts in Capital Markets
w22533 Markus K. Brunnermeier
Yuliy Sannikov

The I Theory of Money
w22547 Daniel R. Cavagnaro
Berk A. Sensoy
Yingdi Wang
Michael S. Weisbach

Measuring Institutional Investors' Skill from Their Investments in Private Equity
w22476 Thomas Philippon
The FinTech Opportunity
w22485 John H. Cochrane
w22492 Söhnke M. Bartram
Gregory Brown
René M. Stulz

Why Does Idiosyncratic Risk Increase with Market Risk?
w22461 Nina Boyarchenko
David O. Lucca
Laura Veldkamp

Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets
w22444 Eduardo Dávila
Anton Korinek

Pecuniary Externalities in Economies with Financial Frictions
w22414 Valentin Haddad
Erik Loualiche
Matthew Plosser

Buyout Activity: The Impact of Aggregate Discount Rates
w22416 Rhys Bidder
Ian Dew-Becker

Long-Run Risk is the Worst-Case Scenario
w22384 Nicholas Kozeniauskas
Anna Orlik
Laura Veldkamp

The Common Origin of Uncertainty Shocks
w22391 Sergey Chernenko
Adi Sunderam

Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds
w22404 Taylor D. Nadauld
Berk A. Sensoy
Keith Vorkink
Michael S. Weisbach

The Liquidity Cost of Private Equity Investments: Evidence from Secondary Market Transactions
w22364 Jaroslav Borovička
Lars Peter Hansen

Term Structure of Uncertainty in the Macroeconomy
w22351 Marco Di Maggio
Marcin Kacperczyk

The Unintended Consequences of the Zero Lower Bound Policy
w22354 Monika Piazzesi
Martin Schneider

Housing and Macroeconomics
w22355 Priyank Gandhi
Hanno Lustig
Alberto Plazzi

Equity is Cheap for Large Financial Institutions: The International Evidence
w22330 Harold Cole
Daniel Neuhann
Guillermo Ordoñez

Debt Crises: For Whom the Bell Tolls
w22332 Marco Di Maggio
Amir Kermani
Zhaogang Song

The Value of Trading Relationships in Turbulent Times
w22343 Markus K. Brunnermeier
Yuliy Sannikov

Macro, Money and Finance: A Continuous Time Approach
w22297 George-Marios Angeletos
Chen Lian

Incomplete Information in Macroeconomics: Accommodating Frictions in Coordination
w22295 Emmanuel Farhi
Matteo Maggiori

A Model of the International Monetary System
w22256 Atif Mian
Amir Sufi

Who Bears the Cost of Recessions? The Role of House Prices and Household Debt
w22258 Michael Bailey
Ruiqing Cao
Theresa Kuchler
Johannes Stroebel

Social Networks and Housing Markets
w22266 Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer

Diagnostic Expectations and Credit Cycles
w22270 Benjamin Hébert
Jesse Schreger

The Costs of Sovereign Default: Evidence from Argentina
w22271 Zhiguo He
Arvind Krishnamurthy
Konstantin Milbradt

A Model of Safe Asset Determination
w22247 Itzhak Ben-David
Francesco Franzoni
Rabih Moussawi
John Sedunov

The Granular Nature of Large Institutional Investors
w22225 Anmol Bhandari
Jaroslav Borovička
Paul Ho

Identifying Ambiguity Shocks in Business Cycle Models Using Survey Data
w22228 Roger E.A. Farmer
Pricing Assets in an Economy with Two Types of People
w22196 Robert E. Hall
Understanding the Decline in the Safe Real Interest Rate
w22208 Alan Moreira
Tyler Muir

Volatility Managed Portfolios
w22209 Jeffrey Hoopes
Patrick Langetieg
Stefan Nagel
Daniel Reck
Joel Slemrod
Bryan Stuart

Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock
w22210 Gary B. Gorton
The History and Economics of Safe Assets
w22183 Drew D. Creal
Jing Cynthia Wu

Bond Risk Premia in Consumption-based Models
w22143 William N. Goetzmann
Dasol Kim
Robert J. Shiller

Crash Beliefs From Investor Surveys
w22146 Itzhak Ben-David
Justin Birru
Viktor Prokopenya

Uninformative Feedback and Risk Taking: Evidence from Retail Forex Trading
w22150 Ivo Welch
Levered Returns
w22152 Itamar Drechsler
Alexi Savov
Philipp Schnabl

The Deposits Channel of Monetary Policy
w22161 Zhi Da
Borja Larrain
Clemens Sialm
José Tessada

Coordinated Noise Trading: Evidence from Pension Fund Reallocations
w22162 David Backus
Nina Boyarchenko
Mikhail Chernov

Term Structures of Asset Prices and Returns
w22134 Campbell R. Harvey
Yan Liu

Rethinking Performance Evaluation
w22133 Markus K. Brunnermeier
Yuliy Sannikov

On the Optimal Inflation Rate
w22135 Roger Farmer
Pawel Zabczyk

The Theory of Unconventional Monetary Policy
w22115 Itzhak Ben-David
Justin Birru
Andrea Rossi

Industry Familiarity and Trading: Evidence from the Personal Portfolios of Industry Insiders
w22091 Yihui Pan
Tracy Yue Wang
Michael S. Weisbach

How Management Risk Affects Corporate Debt
w22096 Mikhail Chernov
Brett R. Dunn
Francis A. Longstaff

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
w22065 Patrick Bayer
Kyle Mangum
James W. Roberts

Speculative Fever: Investor Contagion in the Housing Bubble
w22066 Cristian Badarinza
John Y. Campbell
Tarun Ramadorai

International Comparative Household Finance
w22017 Zhiguo He
Arvind Krishnamurthy
Konstantin Milbradt

What Makes US Government Bonds Safe Assets?
w22016 Rajnish Mehra
Sunil Wahal
Daruo Xie

Is Idiosyncratic Risk Quantitatively Significant?
w22020 Rajnish Mehra
Arunima Sinha

The Term Structure of Interest Rates in India
w22023 Hanno Lustig
Adrien Verdelhan

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
w22025 John Y. Campbell
Restoring Rational Choice: The Challenge of Consumer Financial Regulation
w22028 David S. Bates
How Crashes Develop: Intradaily Volatility and Crash Evolution
w22036 Gary Gorton
Ellis W. Tallman

How Did Pre-Fed Banking Panics End?
w22045 Stefano Giglio
Bryan Kelly

Excess Volatility: Beyond Discount Rates
w22000 Lars P. Hansen
Thomas J. Sargent

Sets of Models and Prices of Uncertainty
w22005 Diego Anzoategui
Diego Comin
Mark Gertler
Joseba Martinez

Endogenous Technology Adoption and R&D as Sources of Business Cycle Persistence
w22008 Gary Gorton
Guillermo Ordoñez

Good Booms, Bad Booms
w21993 Markus K. Brunnermeier
Luis Garicano
Philip Lane
Marco Pagano
Ricardo Reis
Tano Santos
David Thesmar
Stijn Van Nieuwerburgh
Dimitri Vayanos

The Sovereign-Bank Diabolic Loop and ESBies
w21977 Urban J. Jermann
Financial Markets' Views about the Euro-Swiss Franc Floor
w21944 Nicholas Barberis
Robin Greenwood
Lawrence Jin
Andrei Shleifer

Extrapolation and Bubbles
w21945 Kent Daniel
David Hirshleifer

Overconfident Investors, Predictable Returns, and Excessive Trading
w21919 Zhiguo He
Konstantin Milbradt

Dynamic Debt Maturity
w21920 Zhiguo He
Bryan Kelly
Asaf Manela

Intermediary Asset Pricing: New Evidence from Many Asset Classes
w21871 Robert J. Barro
Tao Jin

Rare Events and Long-Run Risks
w21879 David López-Salido
Jeremy C. Stein
Egon Zakrajšek

Credit-Market Sentiment and the Business Cycle
w21888 Robert J. Barro
Gordon Y. Liao

Options-Pricing Formula with Disaster Risk
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
w21848 Xavier Gabaix
Behavioral Macroeconomics Via Sparse Dynamic Programming
w21852 Hélène Rey
International Channels of Transmission of Monetary Policy and the Mundellian Trilemma
w21863 James D. Hamilton
Macroeconomic Regimes and Regime Shifts

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