Working Papers

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On the Size of the Active Management Industry

Reading the Tea Leaves: Why Serial Correlation Patterns in Analysts' Forecast Errors are not Evidence of Inefficient Information Processing

Lack of Anonymity and the Inference from Order Flow

Reporting Bias and Economic Shocks

My Life in Finance

Pension Design in the Presence of Systemic Risk

The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

The Determinants of Attitudes towards Strategic Default on Mortgages

Reverse Survivorship Bias

Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic

Uncertainty About Government Policy and Stock Prices

Jensen's Inequality, Parameter Uncertainty, and Multi-Period Investment

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth

The Economic Impact of Social Ties: Evidence from German Reunification

Do Investors Buy What They Know? Product Market Choices and Investment Decisions

Size, Value, and Momentum in International Stock Returns

Market Sentiment: A Tragedy of the Commons

Market Expectations in the Cross Section of Present Values

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice

Tail Risk and Asset Prices

The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors

Equity Yields

Private Equity Performance: What Do We Know?

Political Uncertainty and Risk Premia

Executive Networks and Firm Policies: Evidence from the Randon Assignment of MBA Peers

The Corporation in Finance

A Tale of Two Option Markets: State-Price Densities Implied from S&P 500 and Vix Option Prices

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On the Size of the Active Management Industry - Lubos Pastor and Robert F. Stambaugh

Reading the Tea Leaves: Why Serial Correlation Patterns in Analysts' Forecast Errors are not Evidence of Inefficient Information Processing - Juhani T. Linnainmaa and Walter N. Torous

Lack of Anonymity and the Inference from Order Flow - Juhani T. Linnainmaa and Gideon Saar

Reporting Bias and Economic Shocks - Joseph Gerakos and Andrei Kovrijnykh

My Life in Finance - Eugene F. Fama

Pension Design in the Presence of Systemic Risk - Stavros Panageas

The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences - Jules H. van Binsbergen, Jesús Fernández-Villaverde, Ralph S. J. Koijen and Juan Francisco Rubio-Ramirez

The Determinants of Attitudes towards Strategic Default on Mortgages - Luigi Guiso, Paola Sapienza and Luigi Zingales

Reverse Survivorship Bias - Juhani T. Linnainmaa

Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic - John H. Cochrane

Uncertainty About Government Policy and Stock Prices - Lubos Pastor and Pietro Veronesi

Jensen's Inequality, Parameter Uncertainty, and Multi-Period Investment - Mark Grinblatt and Juhani T. Linnainmaa

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth - Anisha Ghosh and George M. Constantinides

The Economic Impact of Social Ties: Evidence from German Reunification - Konrad Burchardi and Tarek A. Hassan

Do Investors Buy What They Know? Product Market Choices and Investment Decisions - Matti Keloharju, Samuli Knüpfer and Juhani T. Linnainmaa

Size, Value, and Momentum in International Stock Returns - Eugene F. Fama and Kenneth R. French

Market Sentiment: A Tragedy of the Commons - Tarek A. Hassan and Thomas M. Mertens

Market Expectations in the Cross Section of Present Values - Bryan T. Kelly and Seth Pruitt

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees - Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh

Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice - Ralph S. J. Koijen, Stijn Van Nieuwerburgh and Motohiro Yogo

Tail Risk and Asset Prices - Bryan T. Kelly

The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors - Bryan T. Kelly and Seth Pruitt

Equity Yields - Jules H. van Binsbergen, Wouter Hueskes, Ralph S. J. Koijen and Evert B. Vrugt

Private Equity Performance: What Do We Know? - Robert S. Harris, Tim Jenkinson and Steven N. Kaplan

Political Uncertainty and Risk Premia - Lubos Pastor and Pietro Veronesi

Executive Networks and Firm Policies: Evidence from the Randon Assignment of MBA Peers - Kelly Shue

The Corporation in Finance -

A Tale of Two Option Markets: State-Price Densities Implied from S&P 500 and Vix Option Prices - Zhaogang Song and Dacheng Xiu