It is common to estimate equity betas for private firms or non-traded assets through a comparable company analysis, we test if the Random Forest algorithm can provide superior forecasts. In out-of-sample tests from 1992 to 2018, we find that Random Forest forecasts produce substantially lower...

Information and learning environments shape the dynamics of our beliefs that determine asset prices. When an agent jointly learns about consumption and dividend, her beliefs on them inter-temporally co-vary with each other, decoupled from their true underlying relationship. Such...

We examine the effects of parameter uncertainty and Bayesian learning on equilibrium asset prices when all the structural parameters of the aggregate consumption and dividend growth rate processes are unknown. With realistic calibration of a parsimonious set of prior parameters, the model...

Do parameter uncertainties regarding different risk factors have symmetric effects on asset prices? In a general equilibrium setting where uncertainties regarding consumption and portfolio returns are of concern to investors but all the structural parameters of consumption and dividend growth...

We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty about both the first and second moments of consumption and dividend growth rates. For the 1891-2007 period, our model generates a sizable average annual equity premium,...