Regime-switching models can match the tendency of financial markets to often change their
behavior abruptly and the phenomenon that the new behavior of financial variables often …

This paper provides a systematic review of the weak‐form market efficiency literature that
examines return predictability from past price changes, with an exclusive focus on the stock …

We show that the COVID-19 pandemic brought house price and rent declines in city centers,
and price and rent increases away from the center, thereby flattening the bid-rent curve in …

We survey the literature on stock return forecasting, highlighting the challenges faced by
forecasters as well as strategies for improving return forecasts. We focus on US equity …

Our article comprehensively reexamines the performance of variables that have been
suggested by the academic literature to be good predictors of the equity premium. We find …

Welch and Goyal (2008) find that numerous economic variables with in-sample predictive
ability for the equity premium fail to deliver consistent out-of-sample forecasting gains …

Returns and cash flow growth for the aggregate US stock market are highly and robustly
predictable. Using a single factor extracted from the cross‐section of book‐to‐market ratios …

If returns are not predictable, dividend growth must be predictable, to generate the observed
variation in divided yields. I find that the absence of dividend growth predictability gives …

This article incorporates a time-varying severity of disasters into the hypothesis proposed by
and Barro (2006) that risk premia result from the possibility of rare large disasters. During a …

This paper studies a quantitative general equilibrium model of housing. The model has two
key elements not previously considered in existing quantitative macro studies of housing …