This technical note details an equilibrium asset pricing model for stocks and bonds under economic growth and inflation uncertainties using the Epstein and Zin preferences. Specifically, the results show that both equity and bond risk premiums are priced by growth and inflation uncertainties....

There is a myriad of financial anomalies in the cross-section of equity returns. They have been widely studied in the literature, which gives investors a large choice in terms of investment styles. In this paper, the authors show a perhaps unappreciated quality of financial anomalies: they...

This material was presented at the Canadian Association of Alternative Strategies & Assets 2021 annual conference. It is based on the publish paper: Portfolio Tilts Using Views on Macroeconomic Regimes.Long-term investors tilt their portfolios given their views on the evolving investment...

We estimate the costs of financial distress prior to default (pre-default costs) separately from the loss incurred at default (the loss given default) using a dynamic trade-off model of capital structure. We document that pre-default costs are on average equal to 6.5% of firm value per year. We...