We identify a “slope” factor in exchange rates. High interest rate currencies load more on this slope than low currencies. This accounts for most of the cross-sectional variation average excess returns between high and A standard, no-arbitrage model rates with two factors—a country-specific global factor—can replicate these findings, provided there is sufficient heterogeneity exposure to or common innovations. show that our identifies shocks, we provide empirical evidence it related changes...

Using nationally representative data on consumption, we show that Blacks and Hispanics devote larger shares of their expenditure bundles to visible goods (clothing, jewelry, cars) than do comparable Whites. These differences exist among virtually all subpopulations, are relatively constant over time, economically large. Although racial in utility preference parameters might account for a portion these consumption differences, emphasize instead model status seeking which conspicuous is used...

Marital status can both reflect and affect individual preferences. We explore the impact of marriage on corporate chief executive officers (CEOs) find that firms run by single CEOs exhibit higher stock return volatility, pursue more aggressive investment policies, do not respond to changes in idiosyncratic risk. These effects are weaker for older CEOs. Our findings continue hold when we use variation divorce laws across states instrument CEO marital status, which supports hypothesis itself...

ABSTRACT Social status concerns influence investors' decisions by driving a wedge in attitudes toward aggregate and idiosyncratic risks. I model such emphasizing the desire to “get ahead of Joneses,” which implies that aversion risk is lower than risk. The predicts investors hold concentrated portfolios equilibrium, helps rationalize small premium for undiversified entrepreneurial In model, are more important wealthier households. Consequently, these households own disproportionate share...

We identify a ‘slope’ factor in exchange rates. High interest rate currencies load more on this slope than low currencies. This accounts for most of the cross-sectional variation average excess returns between high and A standard, no-arbitrage model rates with two factors – country-specific global can replicate these findings, provided there is sufficient heterogeneity exposure to or common innovations. show that our identifies shocks, we provide empirical evidence it related changes equity...

ABSTRACT Persistent interest rate differentials account for much of the currency carry trade profitability. “Commodity currencies” offer high rates on average, while countries that export finished goods tend to have low rates. We develop a general equilibrium model international and pricing where an advantage in producing either basic inputs or final goods. In model, domestic production insulates commodity‐producing from global productivity shocks, forcing final‐good producers absorb them....

Abstract Marketing and distribution expenses are responsible for about one-third of the cost active management in mutual fund industry. Estimating a structural model with costly investor search learning skill, we find that marketing is nearly as important performance fees determining size. Eliminating substantially improves welfare: capital shifts toward cheaper funds competition decreases fees; shrink allocation becomes more closely aligned skill. Declining costs imply reduction well shift...

ABSTRACT Mortgage refinancing activity associated with extraction of home equity contains a strongly countercyclical component consistent household demand for liquidity. We estimate structural model liquidity management featuring idiosyncratic labor income uncertainty, long‐ and short‐term mortgages, realistic borrowing constraints. empirically evaluate its predictions households' choices leverage, liquid assets, mortgage using microlevel data. Taking the observed historical paths house...

We build portfolios of monthly currency forward contracts sorted on discounts. The spread between returns the lowest and highest interest rate is more than 5 percentage points per annum 1983 2007 after taking into account bid-ask spreads. annualized Sharpe ratio a carry trade strategy that goes long in short basket 0.6. provide new evidence for systematic risk explanation these excess returns. show single common factor accounts their cross-sectional variation. find are highly predictable...

Recreation prices and hours worked have both fallen over the last century. We construct a macroeconomic model with general preferences that allows for trending recreation prices, wages, work along balanced-growth path. Estimating using aggregate data from OECD countries, we find fall in can explain large fraction of decline hours. also use our to show diverging bundles consumed by different demographic groups account much increase leisure inequality observed United States decades.

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Do “real” assets protect against inflation? Core inflation betas of stocks are negative while energy positive; currencies, commodities, and real estate also mostly hedge but not core. These hedging properties reflected in the prices risks: only core carries a risk premium, its magnitude is consistent both within across asset classes, uniquely among macroeconomic factors. While high tends to be followed by low output, consumption, dividend payouts, it impacts through cash-flow discount rate...

Abstract Does mental accounting matter for total consumption expenditures? We exploit a unique setting in which individuals exogenously receive new payment card, without requesting one. Using random variation the time of receipt, we show that temporarily increase expenditure by making purchases with card reducing spending on others. do not observe corresponding indebtedness. Total rises even least liquidity-constrained individuals. The evidence is consistent consumers treating methods as...