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- Jules H. van Binsbergen, Stanford GSB, +16 authors Vish Viswanathan
- 2008

We propose a latent-variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the whole history of the pricedividend ratio and dividend growth rates to obtain predictors for future returns and dividend growth rates. We… (More)

- Ralph S.J. Koijen, Hanno Lustig, +14 authors Monika Piazzesi
- 2009

Value stocks have higher exposure to innovations in the nominal bond risk premium than growth stocks. Since the nominal bond risk premium measures cyclical variation in the market’s assessment of future output growth, this results in a value risk premium provided that good news about future output lowers the marginal utility of wealth today. In support of… (More)

- Ralph S.J. Koijen, Theo E. Nijman, +13 authors Rui Yao
- 2007

We study the consumption and portfolio choice problem for a life-cycle investor who allocates wealth to equity and bond markets. Consistent with recent empirical evidence, we accommodate time variation in bond risk premia. We analyze whether and when the investor, who has to comply with borrowing, short-sales, and liquidity constraints, can exploit… (More)

- Hanno Lustig, Stijn Van Nieuwerburgh, +15 authors Martin Lettau
- 2008

We set up an exponentially affine stochastic discount factor model for bond yields and stock returns in order to estimate the prices of aggregate risk. We use the estimated risk prices to compute the no-arbitrage price of a claim to aggregate consumption. The pricedividend ratio of this claim is the wealth-consumption ratio. Our estimates indicate that… (More)

- Alex Edmans, Vivian W. Fang, +4 authors Luke Taylor
- 2013

This paper links the impending vesting of CEO equity to reductions in real investment. Existing studies measure the manager’s short-term concerns using the sensitivity of his equity to the stock price. However, in myopia theories, the driver of short-termism is not the magnitude of incentives but their horizon. We use recent changes in compensation… (More)

- Anna Cieslak, Pavol Povala, +6 authors Pietro Veronesi
- 2011

We decompose long-term yields into a persistent component and maturity-related cycles to study the predictability of bond excess returns. Predictive regressions of one-year excess bond returns on a common factor constructed from the cycles give R’s up to 60% across maturities. The result holds true in different data sets, passes a range of out-of-sample… (More)

- Ralph S. J. Koijen, Stijn Van Nieuwerburgh, +4 authors Liran Einav
- 2011

We develop a pair of risk measures for the universe of health and longevity products that includes life insurance, annuities, and supplementary health insurance. Health delta measures the differential payoff that a policy delivers in poor health, while mortality delta measures the differential payoff that a policy delivers at death. Optimal portfolio choice… (More)

- Michael Weber, Stefan Jank, +10 authors Tim McQuade

This paper examines the asset-pricing implications of nominal rigidities. I find that firms that adjust their product prices infrequently earn a cross-sectional return premium of more than 4% per year. Merging confidential product price data at the firm level with stock returns, I document that the premium for sticky-price firms is a robust feature of the… (More)

- Lieven Baele, Geert Bekaert, +10 authors Allan Timmermann
- 2009

The authors greatly benefited from discussions with Frank de Jong, Francis Diebold, Andrea Frazzini, Eric Ghysels, Antonio Moreno, Theo Nijman, Paolo Pasquariello, Ralph Koijen, Peter Schotman, Allan Timmermann, Bas Werker, Jeffrey Wurgler, Raf Wouters and seminar participants at the Bank of England, the AFA 2009 Meetings in San Francisco, the EFMA 2008… (More)

- Wei Wu, Zhiguo He, +7 authors Douglas Skinner
- 2014

I investigate the causal impact of information asymmetry on insider trading by exploiting a quasi-experimental design: the brokerage closure-related terminations of analyst coverage, which exogenously increase the information asymmetry of the affected firms. Using a difference-indifferences approach, I find that after the terminations of analyst coverage,… (More)