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Rebalancing, Institutional Investors, Return Dynamics, Price Pressures, Reversal
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Factor Models, Macro-Finance, Factor Timing, SDF, Risk Management.
Long-Horizon Returns, Predictability, Mispricing, Factor Models, Equilibrium Correction.
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
Dynamic Factor-Portfolio Models, Equilibrium Correction Term, mispricing, return predictability
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
Equity-Commodity Correlation, Oil Futures, Return Decomposition, Cash Flow News, Oil Production
Geopolitical Risks, Geopolitical Tensions, Geopolitical Threats, Risk Perceptions, Cross-Section of Risk Premia, Time Variation in Risk Premia
Monetary Policy Rule, Secular Trends, Demographics, Income Inequality
Consumption-Based Asset Pricing, Measurement Error, Time-Varying Equity Premium, Habit Formation Model, Conditioning Variable. JEL codes: C22
