Exchange-traded funds (ETFs) are typically considered to be passive investment vehicles designed to track a benchmark index. However, with the promulgation of the Securities and Exchange Commission's 2019 ETF Rule, funds are permitted the use of custom creation/redemption baskets. This change...

This paper proposes a general equilibrium model which features endogenous cross-country heterogeneity in conditional risk aversion and shows that it can generate significant equity home bias. With complete markets, financing home consumption entails hedging against increases in home conditional...

I study a long-run risk model with non-separable leisure and consumption in the Epstein-Zin preferences to price a cross-section of equity returns over 1948-2011 for the US market. The stochastic discount factor is shown by news on both leisure and consumption. While estimating these two long...