We develop a dynamic model of costly stock short-selling and lending market and obtain
implications that simultaneously support many empirical regularities related to short-selling …

This paper shows that belief differences have strong effects on asset prices in consumption-
based asset-pricing models with long-run risks. Belief heterogeneity leads to time-varying …

We document considerable cross-investor variation in survey expectations about aggregate
stock market returns. Although most investors are extrapolators who expect higher returns …

Persistence risk is an endogenous source of risk that arises when a rational agent learns
about the length of business cycles. Persistence risk is positive during recessions and …

Purpose The purpose of this paper is to examine the relationships between the higher
moments of returns (realized skewness and kurtosis) and subsequent returns at the industry …

This paper investigates the spillover effect of lagged US daily returns on stock return
predictability across 17 developed markets from January 1st, 1972 through August 31st …

We study the equilibrium implications of heterogeneous beliefs and preference
interdependence on the dynamics of asset prices and the resulting market behaviors. For …

The data-generating process underlying productivity includes both trend and business cycle
shocks, generating counterfactuals for prices under full information. In practice, agents' …

We present a dynamic equilibrium model with two irrational investors: an extrapolator and a
contrarian, whose beliefs regarding the growth rate of dividend stream are biased by their …

This paper proposes a monetary model to explore the influences of heterogeneous beliefs
and information processing capacity constraints on the dynamics of asset prices. The …