Labor market frictions are crucial for the equity premium in production economies. A dynamic stochastic general equilibrium model with recursive utility, search frictions, and capital accumulation yields a high equity premium of 4.26% per annum, a stock market volatility of 11.8%, and a low...

The study investigated both the January effect and the "sell-in-May-and-go-away" anomaly in government bond returns. It also tested whether the two seasonal patterns impact the performance of fixed-income factor strategies related to volatility, credit risk, value, and momentum premia. Our...

We study the interactions between the stock market and the labor market. When aggregate risk premiums are time-varying, predictive variables for market excess returns should forecast long-horizon growth in the marginal benefit of hiring and thereby long-horizon aggregate employment growth....