Asset pricing
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What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period. -
Interest on Cash, Fundamental Value Process and Bubble Formation on Experimental Asset Markets
We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main conclusions. -
Bond Risk Premia and Gaussian Term Structure Models
Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns. -
It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold. -
Booms and Busts in House Prices Explained by Constraints in Housing Supply
We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States. -
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. -
Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities. -
A New Linear Estimator for Gaussian Dynamic Term Structure Models
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. -
An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt
This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005.