In this paper, we develop a new dynamic programming approach for solving an optimal retirement model in a two-dimensional incomplete market, which is induced by forced unemployment risk and borrowing constraints. We show that the two dimensions jointly affect an individual's optimal consumption,...

As opposed to the “low beta low risk” convention, we show that low beta stocks are illiquid and exposed to high liquidity risk. After adjusting for liquidity risk, low beta stocks no longer outperform high beta stocks. Although investors who “bet against beta” earn a significant beta...

This paper studies the relationship between economic policy uncertainty (EPU) and the marginal value of corporate cash holdings. We find that the markets place a lower value on firms’ cash holdings under the high level of EPU. Our quasi-experiment tests relating to the 9/11 terrorist attacks...