I present a production-based general equilibrium model that jointly prices bond and stock returns. The model produces time-varying correlation between stock and long-term default-free real bond returns that changes in both magnitude and sign. The real term premium is also time-varying and...

Financial innovation in recent decades has expanded portfolio choice. We investigate how greater choice affects investors' savings and asset returns. We establish a choice channel by which greater portfolio choice increases investors' savings --- by enabling them to earn the aggregate risk...

Diese Dissertation (dt.: Einbeziehung von Modellunsicherheit in das Selektionsproblem von Schätzern für erwartete Renditen) beschäftigt sich mit der Unsicherheit aus einer Vielzahl verfügbarer Schätzer für latente erwartete Renditen den korrekten Schätzer auszuwählen. Anhand des...

This paper examines the determinants of private equity activity across Europe. We analyze a total of 43 explanatory variables, categorized into six groups: Economy; Finance and capital markets; Quality of institutions; Life quality; Economic freedom and Globalization. We assess their impact on...

We explore the relationship between sticky wages and risk. Like operating leverage, sticky wages are a source of risk for the firm. Firms, industries, regions, or times with especially high or rigid wages are especially risky. If wages are sticky, then wage growth should negatively forecast...

This paper estimates and tests the smooth ambiguity model of Klibanoff, Marinacci, and Mukerji (2005, 2009) based on stock market data. We introduce a novel methodology to estimate the conditional expectation which characterizes the impact of a decision maker's ambiguity attitude on asset...

Rare events (RE) and long-run risks (LRR) are complementary approaches for characterizing macroeconomic variables and understanding asset pricing. We estimate a model with RE and LRR using long-term consumption data for 42 economies, identify these two types of risks simultaneously from the...

We provide a systematic analysis of the properties of individual returns to wealth using twelve years ofpopulation data from Norway's administrative tax records. We document a number of novel results.First, during our sample period individuals earn markedly different average returns on their...

We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway's administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their...