asset pricing

Flow-Based Asset Pricing: A Factor Framework of Cross-sectional Price Impacts

We study how noisy flows impact the prices of the cross-section of assets, particularly through the interaction between the factor structure of flows and the assets' risk structure. In our new framework, systematic flows into systematic risk factors …

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 …