The term structure of VIX futures contains a very strong signal of dealer risk appetite. Unlike balance sheet quantities, this feature is available at very high frequencies. Here we exhibit two systematic strategies to mine the attendant risk premium from the term structure of expected...

We interrogate 140 years of macrofinancial data from three directions. The first approach pays attention to the slow buildup of financial imbalances that threaten financial stability and isolates medium-term movements in credit and property prices to identify national financial cycles. We show...

We show that fluctuations in the risk-bearing capacity of US securities broker-dealers are priced in the cross-section of expected stock excess returns. We show that the intermediary risk premium dwarfs the premiums on benchmark factors both unconditionally and dynamically. A portfolio that...