This paper establishes baseline valuations for housing assets using rent cash flows in 22 regions of the U.S. in a Lucas (1978) framework. The model matches the unconditional averages of the price–rent ratios from 1978 to 2012 quite well; however, the model valuations after 2002 are well below...

Using intraday trades and quotes data, we study the stock options market before, during, and after the market events of May 6, 2010. Focusing on the S&P 500 and S&P 100 stock options, we explore if the options market provided any discernible signals that forewarned the extreme volatility on that...

The paper investigates value and momentum factors in 23 developed international stock markets. We find that typically value and momentum premia are smaller and more negatively correlated for large market capitalization stocks relative to small. Momentum factors are more highly correlated...

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....

The seminal work of Constantinides (1986) documents how, when the risky return is calibrated to the U.S. market return, the impact of transaction costs on per-annum liquidity premia is an order of magnitude smaller than the cost rate itself. A number of recent papers have formed portfolios...

This paper numerically solves the decision problem of a multiperiod constant relative risk aversion individual who faces transaction costs and has access to two risky assets, both with predictable returns. With proportional transaction costs and independent and identically distributed returns,...

Young agents with low wealth-income ratios counter factually hold more stock than young, rich agents and old agents using the standard portfolio choice model with i.i.d. stock returns and labor income. This paper matches the countercyclical volatility and procyclical mean of U.S. labor income...

In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in...

The interest rate swap market has grown rapidly. Since the inception of the swap market in 1981, the outstanding notional principal of interest rate swaps has reached a level of $12.81 trillion in 1995. Recent surveys indicate that interest rate swaps are the most commonly used interest rate...