We characterize an information cliff in the stock market: the supply of information on aggregate cash flows drops precipitously beyond a one-year horizon, and so does analyst forecast accuracy. We use a generalized state-space model to explore the …

We study when rapid asset price appreciation becomes unsustainable. Analyzing U.S. stock market data from 1926 to 2022, we document that rapid price increases in individual stocks systematically predict subsequent crashes and negative returns. When …

We identify a common misconception that expected future changes in short-term interest rates predict corresponding future changes in long-term interest rates. People forecast similar shapes for the paths of short and long rates over the next four …

We propose a new model of expected stock returns that incorporates quantity information from market trading activities into the factor pricing framework. We posit that the expected return of a stock is determined by not only its factor risk exposures …

We document substantial and intensifying positive returns in medium- and long-term Treasury bonds on the day before the Treasury Refunding Announcements (TRAs), an important quarterly fiscal event where future issuance plans are unveiled. Pre-TRA …

When a mutual fund has persistent demand for a priced factor, the fund needs to rebalance its portfolio’s exposure to that factor as stock characteristics change over time. We establish this behavior of “factor rebalancing” and examine its …

We analyze the impact of rating agencies' beliefs on credit markets. We measure their beliefs as the difference between their forecasts of aggregate credit spreads and the consensus. When rating agencies become more optimistic, they issue higher …

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” ($p{r}_t$), predicts annual market return with an out-of-sample $R^2$ of 19%, subsuming the predictive power of price-dividend ratio ($p{d}_t$). After controlling for $p{r}_t$, $p{d}_t$ …

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 …