Using a structural model of default, we construct a measure of systemic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. The systemic default measure spikes during recession...

We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents facing fixed transactions costs. We show that even small fixed costs can give rise to large 'no-trade' regions for each agent's optimal trading policy and a significant illiquidity discount in...

This paper examines the inflation forecastability of cross-sectional stocks. To differentiate the cross-sectional inflation exposures, we make the important observation that cross-sectional stock returns exhibit persistent sensitivity to headline inflation shocks during the calendar month of...