Multi Asset Class Investment Strategy

Investment Shocks and Asset Prices ∗

I explore the implications for asset prices and macroeconomic dynamics of shocks that improve real investment opportunities and thus affect the representative household’s marginal utility. These investment shocks generate differences in risk premia due to their heterogenous impact on firms: they benefit firms producing investment relative to firms producing consumption goods, and increase the v...

Asset Prices and Real Investment

This paper analyzes the links between the firms investment technology and financial asset prices within a general equilibrium production economy. The model assumes that real investment is irreversible and subject to convex adjustment costs. It shows how these basic features of real investment naturally generate rich dynamics of stock returns. Firm investment activity and firm characteristics, p...

A generalized methodology for multi-asset class portfolios

Financial Constraints, Asset Tangibility, andCorporate Investment*

Pledgeable assets support more borrowing, which allows for further investment in pledgeable assets. We use this credit multiplier to identify the impact of …nancing frictions on corporate investment. The multiplier suggests that investment–cash ‡ow sensitivities should be increasing in the tangibility of …rms’assets (a proxy for pledgeability), but only if …rms are …nancially constrained. Our e...

Asset Pricing with Heterogeneous Investment Horizons

We consider an analytically tractable asset pricing model describing the trading activity in a stylized market with two assets. Traders are boundedly rational expected utility maximizers with different beliefs about future prices and different investment horizons. In particular, we analyze the effects of the latter source of heterogeneity on the dynamics of price. We find that in the case with ...