We review the literature on return and cash-flow growth predictability from the perspective of
the present-value identity. We focus predominantly on recent work. Our emphasis is on US …

The endeavor to understand bond returns and the term structure of interest rates has
generated an extensive literature, ranging from papers on return predictability and affine …

Multivariate time series data come as a collection of time series describing different aspects
of a certain temporal phenomenon. Anomaly detection in this type of data constitutes a …

This paper explores flow patterns in corporate bond mutual funds. We show that corporate
bond funds exhibit a concave flow-to-performance relationship: their outflows are sensitive …

We propose a new method for estimating latent asset pricing factors that fit the time series
and cross-section of expected returns. Our estimator generalizes principal component …

We propose a new measure of time-varying tail risk that is directly estimable from the cross-
section of returns. We exploit firm-level price crashes every month to identify common …

To contribute to this conversation, the NBER Asset Pricing program convened a panel
discussion on “Perspectives on the Future of Asset Pricing” at its November 8, 2019, meeting …

From the field's leading authority, the most authoritative and comprehensive advanced-level
textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the …

This article incorporates a time-varying severity of disasters into the hypothesis proposed by
and Barro (2006) that risk premia result from the possibility of rare large disasters. During a …

This paper quantifies how variation in economic activity and inflation in the United States
influences the market prices of level, slope, and curvature risks in Treasury markets. We …