Correlations of equity securities have varied substantially over time and remain a source of continuing policy debate. This paper studies stock market correlations in an equilibrium model with heterogeneous risk aversion. In the model, preference heterogeneity causes countercyclical variations...

Este trabajo muestra cómo las discrepancias en torno a la inflación esperada abren una brecha entre las rentabilidades reales y nominales y elevan sus niveles y volatilidades. Se demuestra empíricamente que un incremento de estas discrepancias en una desviación estándar aumenta las...

Economics

Economics

We study asset pricing in economies with large information networks. We focus on networks that are sparse and have power law degree distributions, in line with empirical studies of large scale social networks. Our theoretical framework yields a rich set of novel asset pricing implications. We...

We study the trading behavior of investors in an entire stock market. Using an account level dataset of all trades on the Istanbul Stock Exchange in 2005, we identify investors with similar trading behavior as linked in an empirical investor network (EIN). Consistent with the theory of...