Households experience less earnings risk than primary earners alone, because of intra-household insurance along the intensive and extensive margins.
Stock characteristics are connected to expected returns because they tell us about risk exposure.
Factor estimation using instrumental data to capture both cross-sectional and time-series variation in factor loadings [SSRN]
With the onset of the ZLB, we find a decrease in the perceived monetary policy response to inflation, using surveys of professional forecasts to sidestep data censorship. [SSRN]
Firms' investment decisions contain new information about future aggregate productivity shocks. [SSRN]
We find significant liquidity effects to ECB sovereign bond purchases, using a search-based asset pricing model to understand the mechanism. [SSRN]