430 Wehner
College Station, TX 77843-4218
United States
Texas A&M University - Mays Business School
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Bond Return Prediction, Macroeconomic Variables
macroeconomic uncertainty, asset pricing, regime switching volatility with smooth transitions, volatility clustering, Gibbs Sampling
Corporate bonds, Seniority/Security, TRACE, Watchlist, Credit News, Credit Risk
Term structure, Segmented asset market, Habit formation, Imperfect nominal indexation, Bond risk premia
Momentum, Bonds, Aggregate Default Shocks, Recovery.
Asset Pricing, Cross-Sectional Stock Returns, Payout Policy, Propensity to Pay Dividend, Firm Heterogeneity
Recursive utility, stochastic differential utility, multiple priors, ambiguity aversion, continuous time asset pricing model, time change, unobservable aggregate wealth, mixed data frequency
Bank Capital, Stock Performance, Trading Strategies, Uncertainty
Panel, High-Frequency, Time Change, Realized Variance, Fame-French
Idiosyncratic volatility puzzle, Macroeconomic uncertainty, Idiosyncratic risk, Earnings forecast dispersion, Ambiguity aversion
Momentum Effect, Asset Pricing
Ambiguity, Bond Uncertainty Premiums, Return Predictability
term structure estimation, stochastic volatility, yield forecasts, macroeconomic factors, velocity of money, bond risk premia
idiosyncratic cash-flow risk, heterogeneous beliefs, general equilibrium, cross-section of stock returns, habit formation, the value premium
growth, urbanization, learning by doing, international trade
Ambiguity, Asymmetric Price Reaction, Corporate Bond Uncertainty Premiums, Return Predictability, Credit Rating Dispersion
term structure estimation, macro factors, yield forecasts
Epstein-ZIn Preference, Experiment, Uncertainty Resolution, Risk Aversion, Intertemporal Elasticity of Substitution, Portfolio Choice
Voting rights, Control rights, Stock returns, Return predictability, Options
debt finance, debt maturity structure, corporate term spread, liquidity production, resource misallocation, productivity loss
GlobalGlobal Macroeconomic Uncertainty, Long-Run Uncertainty, Stochastic Volatility, Volatility of Volatility, Bayesian Method, Generalized Method of Moment
Ambiguity, Credit Information Uncertainty, Corporate Bond, Institutional Bond Investor, Trading Behavior
Ambiguity, Corporate Bonds, Debt Maturity Structure,Credit
DSGE, uncertainty, financial friction, expectation, endogenous regime switching