to learn about the future affects their consumption-savings decision. The equity premium falls and the risk-free interest …, the correlation between consumption and investment growth is 0.29 when households have no information about the future …

This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire … whose stocks are most underpriced have considerably lower investment and employment than industry peers not subject to any … fire sale discount. The causal effect of underpricing on investment is found to be largely concentrated on the most …

choice problem concerns the investment of an amount of money in a safe option and a risky option when there is a 'global risk … risk can reduce the amount invested in the risky option. This result cannot be explained by classical Expected Utility or … by its main contenders Rank-Dependent Utility and Cumulative Prospect Theory. An explanation is offered by taking account …

premium of stocks depends on both systematic and idiosyncratic volatility, and that the equity risk premium is significantly … implications for trading behavior: in response to a change in idiosyncratic volatility, the Keynesian portfolio always exhibits … more trading than the Markowitz portfolio, while the opposite is true for a change in systematic volatility. In the …

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States … volatility of state output growth, rather than in its average. The realized industry shares of output also converge faster to … manner that depends crucially on the variance-covariance properties of investment returns, rather than on their average only. …

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States … primarily from convergence in the volatility of state output growth, rather than in its average. The realized industry shares of …, in a manner that depends crucially on the variance-covariance properties of investment returns, rather than on their …

phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed …

and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider … attenuated (amplified) market volatility and risk premium, but the market value is always higher in economic downturns, and lower …, borrowers take on less risk exposure than non-borrowers. A larger risk exposure by borrowers may occur as well, however …

forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian … of the empirical models, and find two key results: (i) a risk averse investor will pay a high performance fee to switch … stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random …