We investigate the empirical implications of using various measures of payout yield rather
than dividend yield for asset pricing models. We find statistically and economically significant …

… where Zjt is a set of instruments associated with a particular horizon j (eg, 1, past inflation,
interest rates at time t, etc.). Under standard IV assumptions, j3V will provide consistent …

The prevailing view in finance is that the evidence for long-horizon stock return predictability
is significantly stronger than that for short horizons. We show that for persistent regressors, a …

This article reexamines the autocorrelation patterns of short-horizon stock returns. We
document empirical results which imply that these autocorrelations have been overstated in the …

Over the last few years Value at Risk (VaR) has gained recognition as the primary tool for
market risk measurement in financial institutions. In fact, a large portion of these financial …

We investigate the cross‐sectional relation between industry‐sorted stock returns and expected
inflation, and we find that this relation is linked to cyclical movements in industry output. …

… A Textual Analysis Jacob Boudoukh, Ronen Feldman, Shimon Kogan, and Matthew …
Jacob Boudoukh The Caesarea Center Arison School of Business, IDC 3 Kanfei Nesharim St …

This article provides an analytical solution to the problem of an institution optimally managing
the market risk of a given exposure by minimizing its Value‐at‐Risk using options. The …

What moves stock prices? Prior literature concludes that the revelation of private information
through trading, and not public news, is the primary driver. We revisit the question by using …

… The “square root rule” states that under standard assumptions,15 the J-period volatility is
equal to the one period volatility inflated by the square root of J. Here for example, the daily …