I analyze the behavior of risk premia in financial crises, wars, and recessions in an
international panel spanning over 140 years and 14 countries. I document that expected …

I review the recent literature on cross‐sectional predictors of stock returns. Predictive
variables used emanate from informal arguments, alternative tests of risk‐return models …

We survey the nascent literature on machine learning in the study of financial markets. We
highlight the best examples of what this line of research has to offer and recommend …

Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

Building on evidence that lifetime experiences shape individuals' macroeconomic
expectations, we study asset prices in an economy in which a representative agent learns …

Standard estimators of risk premia in linear asset pricing models are biased if some priced
factors are omitted. We propose a three-pass method to estimate the risk premium of an …

We find consistent value and momentum return premia across eight diverse markets and
asset classes, and a strong common factor structure among their returns. Value and …

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 …

Financial intermediaries trade frequently in many markets using sophisticated models. Their
marginal value of wealth should therefore provide a more informative stochastic discount …

Stock market participation is monotonically related to IQ, controlling for wealth, income, age,
and other demographic and occupational information. The high correlation between IQ and …