We study a new data set of dividend futures with maturities up to ten years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose the equity yields to obtain a term structure of expected dividend growth...

We solve a dynamic stochastic general equilibrium (DSGE) model in which the representative household has Epstein and Zin recursive preferences. The parameters governing preferences and technology are estimated by means of maximum likelihood using macroeconomic data and asset prices, with a...

Most dynamic programming methods deployed in the portfolio choice literature involve recursions on an approximated value function. The simulation-based method proposed recently by Brandt, Goyal, Santa-Clara, and Stroud (Review of Financial Studies, 18, 831–873, 2005), relies instead on...

We construct daily real-time indices capturing the public information on realized and anticipated economic activity. The one-month change in realized fundamentals predicts US stock returns across horizons with strongest results between a month and a quarter. The information in anticipated...

Risk-off refers to a change in risk preferences and the associated portfolio rebalancing. We identify these episodes using the switch to a polarized correlation regime of foreign-exchange returns. These risk-off transitions are relatively infrequent but noticeably increasing over time, are...

We propose a simple cross-sectional technique to extract daily latent factors from economic news releases available at different dates and frequencies. Our approach can effectively handle the large number of heterogeneous announcements that are relevant for tracking current economic conditions....

We construct daily real-time macroeconomic indices conditional on the rating of Eurozone countries. We uncover substantial explanatory power of our measures of economic fundamentals for yield dynamics beyond the traditional yield principal components. In particular, we find that the divergence...

We examine the dynamic properties of equilibrium stock returns in an incomplete information economy in which the agents need to learn the hidden state of the endowment process. We consider both the case of optimal Bayesian learning and suboptimal learning, including near-rational learning, over-...

Exchange rates depreciate by the difference between the domestic and foreign marginal utility growths. Exchange rates vary a lot, st of the variation of average stock risk through time and it is idiosyncratic risk that drives the forecastability of the stock market.†as much as 10% per year....

During the financial crisis, life insurers sold long-term insurance policies at firesale prices. In January 2009, the average markup, relative to actuarial value, was $-25$ percent for 30-year term annuities as well as life annuities and $-52$ percent for universal life insurance. This...