The equity term structure is downward sloping at long maturities. I estimate an Intertemporal
Capital Asset Pricing Model (ICAPM) to show that the trade‐off between market and …

We propose a method to decompose realized stock returns period by period. First, we argue
that one can directly estimate expected stock returns from securities available in modern …

What is the price elasticity of demand for canonical portfolio choice methods in financial
economics? Twelve models from the literature exhibit strikingly inelastic demand, in contrast …

Between March and September 2020, broad equity price indexes around the world
experienced a historic rally. Although this rally followed a significant decline in stock prices …

Slicing an asset by payout horizons unseals information about its future returns and cash
flows. As an example, we slice an equity market index into granular pieces (dividend strips) …

Prominent factor models are based on tradable factors that do not represent theoretically
relevant risks. To address this issue, we develop a factor model that captures the risks to …

Uttak fra Oljefondet finansierer nå drøyt 20 prosent av utgiftene på statsbudsjettet. Det kan gi
betydelige utfordringer for finanspolitikken. Vi må regne med at store endringer i …

This paper tests the conventional view that redistribution is central to the democratization
process using data from stock markets. Consistent with this view, democratizations have a …

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 …

The relative pricing of short-term (transitory) versus long-term (persistent) risks is a key, yet
overlooked, aspect of firms' intertemporal decisions. In a dynamic model with financing …