We propose a novel methodology to identify investors' subjective beliefs from asset prices
and survey forecasts. Our approach recovers price-consistent beliefs–the conditional …

We find that buying currencies with a high skewness risk premium (SRP) and selling
currencies with a low SRP generates high returns and Sharpe ratio. A tradable SRP factor …

We explore the asset pricing implication of the commodity tail risk, constructed by
aggregating individual commodity's exposure to left‐tail realizations of systematic risks, in …

GDP We primarily work with consumption and GDP expressed per capita, but we sometimes
need GDP levels to value-weight series. We thus obtain population data from the Maddison …