We introduce heterogeneity in the pricing of aggregate risks of various persistence into a dynamic corporate finance model with financing frictions. We show that if long-term (persistent) shocks have a higher market price than short-term (temporary) shocks, firms shorten the horizon of corporate...

This paper exploits information from the variance-ratios of macroeconomic variables to infer about the short and long-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also reveals - by means of labor-share variation - the...

This paper investigates heterogeneity in residential property yields using rental and sale listings from the largest German internet real estate platform. Equipped with property-level rent-to-price ratios obtained via matching properties for sale and for rent, we show that they strongly co-move...