asset pricing

Flow-Based Asset Pricing: Maximum Price Impact Ratio

We analyze the flow-driven fluctuations of the cross section of asset prices. We take the stance that price impacts of uninformative flows arise as marginal investors' risk compensation. We show that shorting the portfolio that incurs the maximum …

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 …