Long-Horizon Exchange Rate Expectations
We study exchange rate expectations in surveys of financial professionals and find that they successfully forecast currency appreciation at the two...
Research highlight
Sentiment and Speculation in a Market with Heterogeneous Beliefs
American Economic Review, 112 (8), 2465-2517
Research highlight
Market efficiency in the age of big data
Journal of Financial Economics, 145(1), 154-177
Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
Journal of Finance, 76 (6), 3211-3254
Sustainability in a Risky World
This paper studies the restrictions on consumption, portfolio choice, and social discounting implied by a sustainability constraint, that utility...
Sentiment and speculation in a market with heterogeneous beliefs
We present a dynamic model featuring risk-averse investors with heterogeneous beliefs. Individual investors have stable beliefs and risk aversion, but...
The Quanto Theory of Exchange Rates
We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...
The Quanto Theory of Exchange Rates
We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...
What is the Expected Return on a Stock?
We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk...
What is the expected return on the market?
This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...
What is the expected return on the market?
This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...
