asset pricing

A Factor Framework for Cross-Sectional Price Impacts

We propose a framework in which noise trading flows impact cross-sectional asset prices through risk factors. In the model, asset-level flows, when aggregated at the factor level, drive fluctuations in factor risk premia. The factors' price impacts …

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 …