Now showing items 1-3 of 3
Dynamics of Bond and Stock Returns
(2015-04)
I present a production-based general equilibrium model that jointly prices bond and stock returns. The model produces time-varying correlation between stock and long-term default-free real bond returns that changes in both ...
Linking Cross-Sectional and Aggregate Expected Returns
(2015-02)
We propose a one-state-variable ICAPM which rationalizes a large set of stock return anomalies, including size, value, and momentum. Differential covariance with news about future market discount rates drives observed ...
Access to Credit and Stock Market Participation
(2015-11)
We exploit staggered removals of interstate banking restrictions to identify the causal effect of access to credit on households’ stock market participation and asset allocation. Using micro data on retail brokerage accounts ...