Investor sentiment indicates how far an asset value deviates from its economic
fundamentals. In this article, we review various measures of investor sentiment based on …

Forward exchange rate unbiasedness is rejected in tests from the current floating exchange
rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) …

We construct a robust stochastic discount factor (SDF) summarizing the joint explanatory
power of a large number of cross-sectional stock return predictors. Our method achieves …

Macro-finance addresses the link between asset prices and economic fluctuations. Many
models reflect the same rough idea: the market's ability to bear risk is greater in good times …

Managed portfolios that take less risk when volatility is high produce large alphas, increase
Sharpe ratios, and produce large utility gains for mean‐variance investors. We document …

We survey the literature on the economic consequences of the structure of social networks.
We develop a taxonomy of “macro” and “micro” characteristics of social-interaction networks …

The last several decades have witnessed a shift away from a fully rational paradigm of
financial markets toward one in which investor behavior is influenced by psychological …

Discount‐rate variation is the central organizing question of current asset‐pricing research. I
survey facts, theories, and applications. Previously, we thought returns were unpredictable …

We argue that tests of reduced‐form factor models and horse races between
“characteristics” and “covariances” cannot discriminate between alternative models of …

Despite their strong positive average returns across numerous asset classes, momentum
strategies can experience infrequent and persistent strings of negative returns. These …