We jointly explain the variations of the equity and value premium in a model with both short-run (SRR) and long-run (LRR) consumption risk. In our preliminary empirical analysis, we find that SRR varies with the business cycle and it has a substantial predictive power for market excess returns...

We explore the performance of mixed-frequency predictive regressions for stock returns from the perspective of a Bayesian investor. We develop a constrained parameter learning approach for sequential estimation allowing for belief revisions. Empirically, we find that mixed-frequency models...

This paper introduces a novel firm-level green innovation measure utilizing ClimateBERT and GPT-3 models to analyze green patent abstracts and earnings call transcripts. Firms with higher green innovation measures experienced lower expected returns: a long-short portfolio generates an average...