We characterize an information cliff in the stock market: the supply of information on aggregate cash flows drops precipitously beyond a one-year horizon, and so does analyst forecast accuracy. We use a generalized state-space model to explore the …

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 …

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 …

The ratio of long- to short-term dividend prices, “price ratio” ($pr_t$), predicts annual market return with an out-of-sample $R^2$ of 19%, subsuming the predictive power of price-dividend ratio ($pd_t$). After controlling for $pr_t$, $pd_t$ …