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Liquidity, Market Frictions, Capital Constraints, International CAPM
Term Structure of Interest Rates, MBS, Supply Factor
Term structure of interest rates, MBS, supply factor
News Shocks, Consumption-CAPM, Cross Section of Returns, Market-to-Book Decomposition
Variance Risk Premium, Option, Equity, Financial Intermediaries
variance risk premium, option, equity, financial intermediaries
swap spreads, limits to arbitrage, intermediary 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
Asset prices, Business cycles, Economic models, External shocks, Productivity
International Finance, Market Segmentation, Integration Reversals, Funding Liquidity
Market Integration, Foreign Direct Investment, Frictions, Fragility, Crashes, Crises
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Crashes, Crises, Financial Frictions, market integration