asset pricing

Cross-Sectional Asset Prices under the Impact of Noise Trading Flows: A Factor Framework

We propose that noise trading flows impact cross-sectional asset prices through systematic risk factors. In our model, asset-level flows, when aggregated at the factor level, drive fluctuations in factor prices and risk premiums. These factor- level …

Under- and Overreaction in Yield Curve Expectations

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 …