Open-end mutual funds have grown to become a key player in the corporate bond market. They invest in illiquid bonds but provide liquid claims to shareholders. Does such liquidity transformation introduce fragility to the corporate bond market? To address this question, we create a novel measure...

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate liquidity risk or betting on it. A three-factor model capturing...

In this paper, we find noticeable relationships between traditional factors, with evidence in favor of the B/M effect and little for the size effect. Using the Fama-Macbeth procedure, we find that the market risk premium is significantly positive, whereas the size factor is significantly...

In recent years, central banks have focused on communication with financial markets, and have tended to conduct policy with high transparency in order to further enhance the effectiveness of monetary policy. In this research, we focus on the members of the U.S. Federal Open Market Committee...

Daily return distributions are modeled by pure jump limit laws that are selfdecomposable laws. The returns may be seen as composed of a sum of independent and identically distributed increments or as a selfsimilar law scaling the sum of exponentially weighted past shocks or a combination...

Using a new utility framework, the author constructs a capital asset pricing model (CAPM) without borrowing or short sales. According to the new utility framework, borrowing at the risk-free rate and short sales of the zero-beta portfolio cause a decline in risk tolerance. This rules-out a...

This study employs boot strapping methods to estimate the distributions of individual security alphas generated from multi-factor models and compares them to empirical observations. I find that a small but sufficient number of positive and statistically significant alphas occurring above the...

We propose a novel reinforcement learning approach to extract high-frequency aggregate growth expectations from asset prices. While much expectations-based research in macroeconomics and finance relies on low-frequency surveys, the multitude of events that pass between survey dates renders...

We show that the stock market regularly and systematically receives information about company fundamentals through month-end reporting, even before the quarterly earnings announcement. Such cash-flow news concentrates at the beginning of a month and affects company announcements, analyst...

Current factor models do not identify risks that matter to investors. To address this issue, we provide a factor model implementation of the ICAPM, which captures market risk and intertemporal risk (i.e., changes in long-term expected returns and volatility). We build our intertemporal risk...