Revisions of consensus forecasts of macroeconomic variables positively predict announcement day forecast errors, whereas stock market returns on forecast revision days negatively predict announcement day returns. A dynamic noisy rational expectations model with periodic macroeconomic...

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate differences in perceived risk exposures, and thereby...

This short paper identifies an insidious pattern in the United States (US) pharmaceutical industry: while drug prices are skyrocketing, insurers are perfectly shielding patients from higher costs at the pharmacy checkout, letting patients live in a "bubble" of price insulation. As drug prices...