Risk-Premia

Stefania D'Amico · Iryna Kaminska

Using security-level data on individual corporate bond prices and the Bank of England’s published purchase quantities across its gilt purchase programs (QE1: £200bn, QE2: £125bn, QE3: £50bn, …

Ralph S.J. Koijen · Motohiro Yogo

The paper develops an asset demand system to analyze, jointly and across all countries, how international portfolio holdings and flows, exchange rates, short-term rates, long-term yields, and equity …

Zhengyang Jiang · Hanno Lustig · Stijn Van Nieuwerburgh · Mindy Z. Xiaolan

Layer 1: Overview This paper studies three centuries of U.K. fiscal history to understand the fiscal implications of safe asset supplier status — what the authors call “exorbitant …

Hengjie Ai · Ravi Bansal · Hongye Guo · Amir Yaron

Layer 1: Overview This paper develops a revealed-preference theory that uses asset-market data to identify whether investors have a preference for early resolution of uncertainty (PER), a property of …

Mikhail Chernov · Lars A. Lochstoer · Dongho Song

Layer 1: Overview This paper proposes and measures the zero-beta rate — the expected return on a portfolio of stocks with zero market beta, constructed to be orthogonal to the SDF innovations spanned …

Zhengyang Jiang · Hanno Lustig · Stijn Van Nieuwerburgh · Mindy Z. Xiaolan

Layer 1: Overview This paper asks whether the U.S. government exploits its market power as the dominant global supplier of safe assets when setting the quantity of public debt, and quantifies the …