This paper exploits information from the variance-ratios of macroeconomic variables to infer about the short and long-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also reveals - by means of labor-share variation - the...

This paper investigates heterogeneity in residential property yields using rental and sale listings from the largest German internet real estate platform. Equipped with property-level rent-to-price ratios obtained via matching properties for sale and for rent, we show that they strongly co-move...

This paper proposes a predictive approach to estimate macroeconomic tail risk dynamics over the long run (1876-2015). Our approach circumvents the scarcity of large macroeconomic crises by using observable predictive variables in a large international panel. This method does not require to use...

This paper exploits information from the variance-ratios of macroeconomic variables to infer about the short and long-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also reveals -- by means of labor-share variation --...

This paper investigates how the investors responses to the evolution of uncertainty affect equilibrium asset returns. I develop a discrete-time real endowment economy where the aggregate economic uncertainty, as detected by a time-change for the endowment process, alters the perceived utility...