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Notre Dame, IN 46556-5646
United States
University of Notre Dame - Mendoza College of Business
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Machine Learning, Ensembled Networks, Forecasting, Bond Return Predictability, Empirical Asset Pricing
Value Premium, Value Spread, Global Asset Pricing, Return Predictability, Alternative Assets, Common and Asset-Class-Specific Value
systematic risk, factor models, investment horizon, cross-sectional pricing
Mispricing, Price Wedges, Tobin’s q, Real Misallocation
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Factor Models, Macro-Finance, Factor Timing, SDF, Risk Management.
Smart beta, factor investing, tradable factors, shorting costs, borrowing fees
Factor Investing, Anomalies, Institutional Investors, Portfolio Choice. JEL codes: G11, G12, G23
Characteristics, Persistent-Transitory Decomposition, Cross-Sectional Return Predictability, Discount Rates, Asset Pricing Tests
predictability, frequency, aggregation, risk-return trade-off
C-CAPM, business-cycle consumption, aggregation
Bond Risk Premia, Fiscal Policy, Uncertainty
Cross-sectional tests, firm-level stock returns, long horizons, macroeconomic risks, consumption, linear multifactor models
Long-Horizon Returns, Predictability, Mispricing, Factor Models, Equilibrium Correction.
Risk Aversion, Uncertainty, Conditional IRF, Dynamic Economies
COVID-19, Equity Returns, Labor Supply, Uncertainty, Earnings Forecast
Dynamic Equilibrium Economies; Stochastic Volatility; Perturbation; Path dependency..
Monetary Policy Rule, Secular Trends, Term Structure, Diagnostic Expectations, Bond Return Predictability
Bond Return Predictability, Diagnostic expectations, Monetary Policy Rule, Secular Trends, term structure
Factor Models, Return Predictability, Mispricing, Reversal, Excess Volatility
401(K) Plans, Stock Demand and 401(K) Ownership, Demand Based Asset Pricing, Price Impact of 401(K) Plans
News Shocks, Consumption-CAPM, Cross Section of Returns, Market-to-Book Decomposition
uncertainty trends, valuation ratios, endogenous growth, price rigidities, financial uncertainty
Bond Risk Premia, Forward Rates, Monetary Policy, Natural Rate of Interest, Bond Predictability
stochastic discount factor, predictors-based bounds, long run
asset pricing models, predictors-based bound, return predictability
sustainability, ESG, equilibrium, demand-based asset pricing, stock predictability, scenarios
Roth IRA; Traditional IRA; Return Heterogeneity; Wealth Inequality; Retirement Accounts
Wold decomposition, temporal aggregation, persistence heterogeneity, forecasting
Long-run risk, Persistence heterogeneity, Temporal aggregation, Consumption predictability
Institutional demand, Equity duration, Long-term investors, Capital constraints
distorted beliefs, return predictability, ICAPM, cross-section of stock returns
distorted beliefs, return predictability, ICAPM, cross-section of stock returns. JEL Classification: G12
Sustainable Investing, Institutional Investors, Earnings Announcements. JEL codes: G11, G12, G14, G23
error correction, long run predictability, equity premium, demographics
Equity term structure, TFP news shock, equity yields, dividend growth, discount rate
Monetary Policy Rule, Secular Trends, Demographics, Income Inequality
Dynamic equilibrium economies, Stochastic volatility, Perturbation, Matlab code
Equity premium, Return predictability, Forecast combination, Encompassing forecasts, Model complexity, shrinkage
Fund Flows, Factor Investing, Institutional Investors, Market Efficiency
Return Predictability, Empirical Asset Pricing, Machine Learning, Bayesian Methods, Penalized Regressions.
Persistence heterogeneity, Temporal aggregation, Permanent-transitory decomposition, Term-structure of risks, Long-run risks
Dynamic Dividend Growth Model, Long Run Returns Predictability, Demographics
Risk-Return; Stock return predictability; Macroeconomic Uncertainty; Multi-scale time series models
Fiscal Policy, Debt to GDP, Investment
demographics, dynamic dividend growth model, long run returns predictability
