We conduct a novel survey of 2,548 nationally representative U.S. respondents to estimate subjective risk-return trade-offs in savings, government bonds, stocks, real estate, gold, and cryptocurrencies. We document a robust negative relationship between respondents’ perceptions of the risk and...

A closet indexer is more likely to meet a value-weighted investment benchmark by value-weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and the actual weights held by a fund, averaged across...

The paper investigates the portfolio allocation effects of increased asset co-movements during extreme market downturns. We develop a model for the state variables underlying the stock price process that allows for increased and asymmetric dependence between extreme return realizations. We...

We study the link between corporate bond risk premia and equity returns in a large panel of corporate bond transaction data. In contrast to previous work, we find that a significant part of the time variation in bond risk premia can be explained by equity-implied bond risk premium estimates. We...

Using a large panel of corporate bond transaction data, we study the linkages between equity and corporate bond risk premia. We find that a significant part of the time variation in bond default risk premia can be explained by equity implied bond risk premium estimates. We compute these...

We develop a methodology to study the linkages between equity and corporate bond risk premia and apply it to a large panel of corporate bond transaction data. We and that a significant part of the time variation in bond default risk premia can be explained by equity implied bond risk premium...