Ralph S. J. Koijen

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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)
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)
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)
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)
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)
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)
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)
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)
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)
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)