We propose a duration‐based explanation for the premia on major equity factors, including
value, profitability, investment, low‐risk, and payout factors. These factors invest in firms that …

Several papers decompose stock returns into cash flow and discount rate news to study
equity market fluctuations. This paper develops an alternative return decomposition based …

We propose a class of time-separable and state-dependent preferences for asset pricing. In
conjunction with the affine structure of the joint dynamics of state variables, aggregate …

We analyse the drivers of real estate returns from the perspective of a diversified equity and
fixed income investor. Differences between listed and unlisted real estate reduce over the …

This study addresses the challenges of missing financial data in Brazil and its implications
for asset pricing and corporate finance research. We propose combining information from …