Using a large panel data set containing detailed information on educational attainments as
well as financial and socioeconomic variables for individual investors, we show that …

Because of non‐traded human capital, real‐world financial markets are massively
incomplete, while the modeling of imperfect, dynamic financial markets remains a wide …

We analyze financial risk premiums and real economic dynamics in a DSGE model with
three types of agents—shareholders, bondholders and workers—that differ in participation in …

We propose an uncovered expected returns parity (URP) condition for the bilateral spot
exchange rate. URP implies that unilateral exchange rate equations are misspecified and …

We study a segmented financial markets model where only the agents who trade stocks
encounter financial income risk. In such an economy, the welfare-maximizing monetary …

This is the first paper in the dynamic stochastic general equilibrium literature to match key
business cycle moments and long‐run equity returns in a small open economy with …

We show that the drop in the equity premium since the 1970s can partially be explained by
the shifts in the level and composition of US income inequality. To show it, we use a …

This paper investigates the interdependence between the risk-pooling activity of the
financial sector and: output, consumption, risk-free rate, and Sharpe ratio in a dynamic …

This paper studies the quantitative properties of a general equilibrium model where a
continuum of heterogeneous entrepreneurs are subject to aggregate as well as idiosyncratic …

Risk tolerance in fund performance is a topic which is of enormous interest not only to
researchers all over the world, but also to investors. Motivated by limited empirical studies …