We estimate a regime-switching model for the equity term structure with Bayesian methods.
Our approach accounts for the data sample being unrepresentative of the population …

We label the degree to which individuals are more optimistic at long horizons relative to
short horizons as the horizon bias. We examine whether time-series variation in the horizon …

We estimate short-term dividend strip prices from 27 years of S&P 500 index options data
(1996-2022). We use option-implied interest rates when estimating strip prices and longer …

Nakamura and Steinsson (2018 QJE, page 1304-1305):“... when an FOMC announcement
signals higher interest rates than markets had been expecting, market participants may view …

We implement a state-space modeling to capture jointly the one-year and infinite horizons
equity risk premia (ERPs) over a secular period in France. Expected stock returns are …

Short performance windows shrink mutual fund managers' investment horizons well below
value investors' long-term investment mandates, and relative performance evaluations …

Investments in short-term dividend assets outperform investments in the market according to
Binsbergen, Brandt, and Koijen (2012), but contrary to predictions of several asset pricing …

Recent findings on the term structure of equity and bond yields pose severe challenges to
existing equilibrium asset pricing models. This paper presents a new equilibrium model of …

In the first chapter of my dissertation, I characterize the relationship between dividend
dynamics and the term structure of equity risk premia. Within a class of log-linear asset …

Recent findings on the term structure of equity and bond yields pose serious challenges to
existing equilibrium asset pricing models. This paper presents a new equilibrium model to …