FMG

Portfolio choice involves substituting across many assets at once, complicating inference about asset demand. An elementary condition often captures...

This paper explains why institutional reforms often fail to stimulate investment despite improving long-run fundamentals. We develop a real options...

Commonly used frequentist estimation methods for linear factor models of asset returns are invalidated by weak and spurious factors. The problem is...

The equity premium has conventionally been defined as the return on stocks minus the return on bills. We decompose this conventional definition into...