We build an equilibrium model to explain why stock return predictability concentrates in bad
times. The key feature is that investors use different forecasting models, and hence assess …

We study an investor who is unsure of the dynamics of the economy. Not only are
parameters unknown, but the investor does not even know what order model to estimate …

Using a new variable to measure investor sentiment we show that the sentiment of German
and European investors matters for return volatility in local stock markets. A flexible empirical …

High-frequency reversals are an economically important characteristic of the returns to
tradeable claims to the market portfolio. This paper demonstrates that short-horizon negative …

We analyze the impact of US macroeconomic surprises and forecaster heterogeneity on the
USD/EUR exchange rate and US and German long-term interest rates from 1999 to 2014 …

In this paper, we study the exchange rate predictability across a range of investment
horizons by proposing a generalized (term structure) model to capture the dynamics …

This paper examines the effects of economic uncertainty (idiosyncratic vis-à-vis common
uncertainty) on equity, bond and housing returns across both developed and developing …

In the context of a continuous-time pure-exchange economy model, the paper develops a
novel methodology, based on measure-valued stochastic processes, for analyzing the …

A call option on a stock is a common and widely used derivative. On an average trading day
in 2015, more than 800,000 such options traded on the Chicago Board Options Exchange …

I analyze a model with heterogeneous investors who have incorrect beliefs about
fundamentals. Investors think that they are right at first, but over time realize that they are …