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 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 …

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 …