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We propose a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the(More)
The market dynamics of technology stocks in the late 1990s have stimulated a growing body of theory that analyzes the joint effects of short-sales constraints and heterogeneous beliefs on stock prices and trading volume. This paper examines several implications of these theories using a unique data sample from a market with stringent short-sales constraints(More)
We develop models of stochastic discount factors in international economies that produce stochastic risk premiums and stochastic skewness in currency options. We estimate the models using time-series returns and option prices on three currency pairs that form a triangular relation. Estimation shows that the average risk premium in Japan is larger than that(More)
Do demographic patterns affect stock returns across industries? While there is a substantial literature on the impact of demographic fluctuations on aggregate stock returns (Gurdip S. is little evidence on the effect of demographics on cross-sectional returns. In this paper, we investigate this relationship. We analyze the impact of shifts in cohort sizes(More)
Asset price bubbles, that is, asset prices that exceed the assets' fundamental value, have always been a subject of interest to economists. Clear identification of a price bubble is challenging, however, due to the difficulty in measuring an asset's fundamental value. There is an open debate about whether each historical episode constitutes a bubble. For(More)
How reliable is the recovery theorem of Ross (2015)? We explore this question in the context of options on the 30-year Treasury bond futures, allowing us to deduce restrictions that link the risk-neutral and physical distributions. The backbone of these restrictions is that the martingale component of the stochastic discount factor is unity. Our approach(More)
Large institutional investors dominate many financial markets. This paper develops a consumption-based model of markets in which all institutional traders recognize their impact on prices. Bilateral (buyer and seller) market power changes efficiency and arbitrage properties of equilibrium. Predictions match temporary and permanent price effects of supply(More)
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