#### Filter Results:

#### Publication Year

2009

2015

#### Publication Type

#### Co-author

#### Key Phrase

#### Publication Venue

Learn More

- Ralph S J Koijen, John Campbell, John Cochrane, George Constantinides, Wayne Ferson, Eugene Fama +13 others
- 2009

We show that the cross-section of expected returns of stock portfolios sorted along the book-to-market dimension can be explained using a factor, which we call the KLN factor, that is a linear combination of (contemporaneous) forward rates. It has a correlation of 82% with the Cochrane-Piazzesi (2005, CP) factor, itself a linear combination of the same… (More)

- Pierre Collin-Dufresne, Michael Johannes, Lars Lochstoer, Lars A Lochstoer, David Backus, Mikhail Chernov +3 others
- 2012

This paper studies the asset pricing implications of parameter learning in general equilibrium macro-…nance models. Learning about the structural parameters governing the exogenous endowment process introduces long-run risks in the subjective consumption dynamics, as posterior mean beliefs are martingales and shocks to mean beliefs are permanent. These… (More)

- Nicolas Petrosky-Nadeau, Lu Zhang, Lars-Alexander Kuehn, Nber Kuehn Is Affiliated, Michele Boldrin, Bob Dittmar +26 others
- 2014

Frictions in the labor market are important for understanding the equity premium in the financial market. We embed the Diamond-Mortensen-Pissarides search framework into a dynamic stochastic general equilibrium model with recursive preferences. The model produces realistic equity premium and stock market volatility, as well as a low and stable interest… (More)

- Emi Nakamura, Dmitriy Sergeyev, Jón Steinsson, Andrew Ang, Ravi Bansal, Geert Bekaert +15 others
- 2015

We provide new estimates of the importance of growth rate and uncertainty shocks for developed countries. The shocks we estimate are large and correspond to well-known macroeconomic episodes such as the Great Moderation and the productivity slowdown. We compare our results to earlier estimates of " long-run risks " and assess the implications for asset… (More)

W e show that U.S. stock and Treasury futures prices respond sharply to recurring stale information releases. In particular, we identify a unique macroeconomic series—the U.S. Leading Economic Index ® (LEI)— which is released monthly and constructed as a summary statistic of previously released inputs. We show that a front-running strategy that trades S&P… (More)

- Martin Lettau, Sydney C Ludvigson, Ma Sai, Nyu, John Y Campbell, Kent Daniel +3 others
- 2015

Value and momentum strategies earn persistently large return premia yet are negatively correlated. Why? We show that a quantitatively large fraction of the negative correlation is explained by strong opposite signed exposure of value and momentum portfolios to a single aggregate risk factor based on low frequency ‡uctuations in the national capital share.… (More)

- ‹
- 1
- ›