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We find that intermittent re-balancers, compared to continuous re-balancers, amplify the countercyclical volatility of risk premia by a factor of three in a calibrated version of our model.
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An arbitrage-free SDF model that prices the cross-section of stock and bond returns.
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We show that risk premia in currency markets are large and time-varying. Currency excess returns are highly predictable, more than stock returns, about as much as bond returns. A single factor explains the cross-section of currency returns.
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NBER Working Paper with Predictability results (soon to appear in separate paper)
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This Appendix reports additional robustness checks.
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We propose a new method to measure the wealth-consumption ratio. Total wealth is much safer than stock market wealth. The consumption risk premium is only 2.2 percent, substantially below the equity risk premium of 6.9 percent.
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Our paper examines the impact of heterogeneous trading technologies for households on asset prices and the distribution of wealth.
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The arrival and gradual adoption of information technology since the 1970s has stimulated the accumulation of organizational capital in existing firms. This accounts for the increased inequality in managerial compensation and the rise in payouts to owners
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Our results indicate that the US federal government is partially hedged against wars and other surprise increases in defense expenditures. Seven percent of the total cost of defense spending shocks in the postwar era was absorbed by lower real returns.