We can only estimate the distribution of stock returns but we observe the distribution of risk neutral state prices. Risk neutral state prices are the product of risk aversion - the pricing kernel - and the natural probability distribution. The Recovery Theorem enables us to separate these and...

This paper estimates the effects of friends' health behaviors, smoking and drinking, on own health behaviors for adolescents while controlling for the effects of correlated unobservables between those friends. Specifically, the effect of friends' health behaviors is identified by comparing...

This paper examines mortgage outcomes for a large, representative sample of individual home purchases and refinances linked to credit scores in seven major US markets in the recent housing boom and bust. Among those with similar credit scores and loan attributes, black and Hispanic homeowners...

We present evidence that benefits from agglomeration concentrate within race. Cross-sectionally, the black-white wage gap increases by 2.5% for every million-person increase in urban population. Within cities, controlling for unobservable productivity through residential-tract-by-demographic...

We assemble a novel dataset of matched legislative and constituent votes and demonstrate that less income does not mean less representation. We show 1) The opinions of high and low income voters are highly correlated; the legislator's vote often reflects the desire of both. 2) What differences in...

This paper examines the impact of youth friendship links on student's own academic performance (grade point average) using the Add Health. We estimate a reduced form, high dimensional fixed effects model of within cohort or grade friendship links, and use this model to predict each student's...

The hypothesis that financial markets punish traders who make relatively inaccurate forecasts and eventually eliminate the effect of their beliefs on prices is of fundamental importance to the standard modeling paradigm in asset pricing. We establish necessary and sufficient conditions for...

The multi-decade growth and spatial dispersion of immigrant families in the United States has shifted the composition of US schools, reshaping the group of peers with whom students age through adolescence. US-born students are more likely to have foreign-born peers and foreign-born students are...

We develop a model of optimal investment with two types of agents with different beliefs about the market dynamics. Market conformists agree with the true log-normal price distribution and rebels believe in price predictability. Depending on their exact beliefs, the rebels may follow either a...

We use a novel research design to empirically detect the effect of social interactions among neighbors on labor market outcomes. Specifically, using Census data that characterize residential and employment locations down to the city block, we examine whether individuals residing in the same...