We investigate the impact of local agglomeration economies on household portfolio choice. Using detailed location and employment data from two U.S. household surveys, we document that individuals who work in locally agglomerated industries are more likely to invest in risky assets. This pattern...

We propose a theoretical measure of income hedging demand and show that it affects asset prices. We focus on the value factor and first demonstrate that our demand estimates are correlated with the actual demands of retail and mutual fund investors. Then, we show that the aggregate HML demand...

Contrary to the predictions of traditional life-cycle models, household consumption is excessively sensitive to current income. Similarly, weak evidence of income hedging runs against standard portfolio theory. We link these two puzzles by modifying the theoretical framework of Viceira (2001) to...

We examine whether blockchain characteristics such as network size and computing power affect cryptocurrency prices and returns. Consistent with theoretical models, cryptocurrency prices are cointegrated with these two blockchain characteristics. Further, a stochastic discount factor with...

We examine whether the poor unconditional performance of active equity funds can be justified by their superior returns during bad economic times. Using disappointment events in consumption growth as a better proxy for high marginal utility states, we find that the quintile of funds with the...