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A Course in Asset Pricing
From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing In Financial Decisions and Marke...
The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely u...
Portfolio Choice for Long-term Investors
This volume provides a scientific foundation for the advice offered by financial planners to long-term investors. Based upon statistics on asset retur...
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Fixing the Financial System
A nonpartisan plan of action for fixing the global economy from fifteen of the world's leading economists In the fall of 2008, fifteen of the world's ...
Models of the Term Structure of Interest Rates
Assessing the Welfare Costs of Household Investment Mistakes
This paper investigates the efficiency of household investment decisions in a unique dataset containing the disaggregated wealth and income of the ent...
What Macroeconomists Should Know about Unit Roots
This paper is an introduction to unit root econometrics as applied in macroeconomics. The paper first discusses univariate time series analysis, empha...
A Consumption-based Explanation of Aggregate Stock Market Behavior
We present a consumption-based model that explains the procyclical variation of stock prices, the long-horizon predictability of excess stock returns,...
"This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003...
This paper reviews the behavior of financial asset prices in relation to consumption. The paper lists some important stylized facts that characterize ...
A Study of Long-term Capital Market Integration
This paper proposes and implements a new approach to a classic unsolved problem in financial economics: the optimal consumption and portfolio choice p...
This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003....
This paper derives and estimates an equilibrium model of stock price behavior in which exogenous "noise traders" interact with risk-averse "smart mone...
It is well known that in the postwar period stockreturns have tended to be low when the short term nominal interest rate is high. In this paper I show...