Rational expectations imply that the current long-term interest rate should already incorporate public knowledge of anticipated increases in short rates. Yet, there is a widespread misconception that expected future shifts in the short rate forecast …

Each quarter, the Treasury Department unveils its refunding plan, detailing the following quarter's treasury issuances in terms of size and maturity composition. We document substantial positive returns on long-term Treasurys on the day before these …

We study how noise trading flows impact the cross-section of asset prices in a market where sophisticated investors enforce no-arbitrage. In our model, individual asset flows, aggregated at the factor level, drive fluctuations in factor risk premia, …

At the peak of the tech bubble, only 0.57% of market valuation comes from dividends in the next year. Taking the ratio of total market value to the value of one-year dividends, we obtain a duration of 175 years. In contrast, at the height of the …

An open question in finance and economics is how the beliefs of agents affect the credit cycle and real economic activity. We analyze the impact of beliefs on credit markets in the context of credit rating agencies. We create a measure of rating …

We propose a novel source of predictable price pressure resulting from mutual funds’ factor rebalancing behavior. When a fund’s factor demand is persistent, it needs to rebalance the portfolio’s factor exposure, leading to predictable trading at the …

I document a robust pattern in how Treasury market participants' yield curve expectations respond to new information: forecasts for short-term rates underreact to news while forecasts for long-term rates overreact. I propose a new explanation of this …

The ratio of long- to short-term dividend prices, “price ratio” ($pr_t$), predicts annual market return with an out-of-sample $R^2$ of 19%, subsuming the predictive power of price-dividend ratio ($pd_t$). After controlling for $pr_t$, $pd_t$ …

Delegation bears an intrinsic form of uncertainty. Investors hire managers for their superior models of asset markets, but delegation outcome is uncertain precisely because managers' model is unknown to investors. We model investors' delegation …