We show that inflation risk is priced in stock returns and that inflation risk premia in the cross-section and the aggregate market vary over time, even changing sign as in the early 2000s. This time variation is due to both price and quantities of inflation risk changing over time. Using a...

We study the pricing of reverse convertible bonds. These are bonds that carry high coupon payments. In exchange, the issuer has an option at the maturity date to either redeem the bonds in cash, or to deliver a pre-specified number of shares. We find that Dutch plain vanilla and knock-in reverse...

The description of how individual models in families of models are related to each other is crucial for the general philosophical understanding of model-based scientific practice. We focus on the Capital Asset Pricing Models (CAPM) family, a cornerstone in financial economics, to provide a...