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...
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...
Welfare Costs of Catastrophes: Lost Consumption and Lost Lives
The Economic Journal, 131 (634), 946–969
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...