Drawing upon more than 12 million observations over the period from 1996 to 2020, we find
that allowing for nonlinearities significantly increases the out-of-sample performance of …

Uncertainty over future business conditions lies at the heart of firm decision-making.
Uncertainty can arise from a myriad of sources and is difficult to measure. We present a …

Uncertainty in corporate decision-making arises from a variety of factors, ranging from prices
of production inputs to market demand conditions, from technological progress to credit …

This paper recasts the consumption asset pricing model in terms of accounting numbers that
connect to consumption and the risk to consumption under accounting principles. The …

This monograph reports on developing research that assesses the risk of equity investing
from financial statements. The relevant information is conveyed by accounting numbers …

Timing premia measure how much consumption people are willing to forgo to resolve all
consumption uncertainty immediately. We develop a novel experiment to elicit these …

Many accounting numbers appear in standard factor models, including book value,
investment, return on equity (ROE), and other profitability measures. However, they do so …

This paper develops an asset market based test for preference for the timing of resolution of
uncertainty. Our main theorem provides a characterization of preference for early resolution …

We propose a theoretically motivated and empirically robust factor model for option returns.
The model consists of factors based on option illiquidity, option price, implied-minus-realized …

Motivated by structural credit risk models, we propose a parsimonious reduced-form joint
factor model for bonds, options, and stocks. By extending the instrumented principal …