Recent evidence has documented a predictable component in stock returns which is particularly large at low frequencies (see for example Fama and French [1099] and [1989]). Most previous studies have examined the predictability of bond portfolios, stock indices, size deciles and industry...

This paper examines portfolio allocations and market clearing prices when the representative agent can allocate across equity portfolios formed on the basis of characteristics like size and book-tomarketand portfolio cash flows are predictable. The state space is discrete and...

This paper examines portfolio allocations and market clearing prices when the representative agent can allocate across equity portfolios formed on the basis of characteristics like size and book-to- market and portfolio cash flows are predictable. The state space is discrete and...

This paper examines portfolio allocations and market clearing prices when the representative agent can allocate across equity portfolios formed on the basis of characteristics like size and book-to- market and portfolio cash flows are predictable. The state space is discrete and...

Our paper contributes to the dynamic portfolio choice and transaction cost literatures by considering a multiperiod CRRA individual who faces transaction costs and who has access to multiple risky assets, all with predictable returns. We numerically solve the individual s multiperiod problem in...

Since October 1989, Standard and Poor s has (when possible) announced changes in the composition of the Samp;P 500 index one week in advance. Because index funds hold Samp;P 500 stocks to minimize tracking error, index composition changes since this date provide an opportunity to examine the...

Our paper contributes to the dynamic portfolio choice and transaction cost literatures by considering a multiperiod CRRA individual who faces transaction costs and who has access to multiple risky assets, all with predictable returns. We numerically solve the individual s multiperiod problemin...

A large recent literature has focused on multiperiod portfolio choice with labor income, and while the models are elaborate along several dimensions, they all assume that the joint distribution of shocks to labor income and asset returns is i.i.d.. Calibrating this joint distribution to U.S....

Our paper contributes to the dynamic portfolio choice and transaction cost literatures by considering a multiperiod CRRA individual who faces transaction costs and who has access to multiple risky assets, all with predictable returns. We numerically solve the individual's multiperiod problem in...

A large recent literature has focused on multiperiod portfolio choice with labor income, and while the models are elaborate along several dimensions, they all assume that the joint distribution of shocks to labor income and asset returns is i.i.d.. Calibrating this joint distribution to U.S....