We study asset prices in an economy where some investors classify risky assets into different styles and move funds back and forth between these styles depending on their relative performance.

This paper solves numerically the intertemporal consumption and portfolio choice problem of an infinitely-lived investor who faces a time-varying equity premium.

For twenty-five years, the US and Japanese goverments have seen the rise of corporate groups in Japan, Keiretsu, as due in part to foreign pressure to liberalize the Japanese market. In fact, virtually all of the recent works that discuss barriers in a historical context argue that Japanese...

Recent research has documented large differences between countries in ownership concentration in publicly traded firms, in the breadth and depth of capital markets, in dividend policies, and in the access of firms to external finance. We suggest that there is a common element to the explanations...

In this paper, we analyze how large institutions differ from other investors and the implications that these differences have for stock returns, market liquidity, and corporate governance. We find that large institutional investors -- a category including all managers with greater than $100...

If household portfolios are constrained by borrowing and short-sales restrictions, or by fixed costs of participating in risky asset markets, then alternative retirement savings systems may affect household welfare by relaxing these constraints. This paper uses a calibrated partial-equilibrium...