I establish that inflation risk is priced in the cross section of stock returns: Stocks that have low returns during inflationary times command a risk premium. I estimate a market price of inflation risk that is comparable in magnitude to the price of risk for the aggregate market. Inflation is therefore a key determinant of risk in the cross section of stocks. The inflation premium cannot be e...

This paper addresses the question of how the vertical structure of a product line relates to brand equity. Does the presence of “premium” or high-quality products in a product line enhance brand equity? Conversely, does the presence of “economy” or low-quality products in a product line diminish brand equity? Economists and marketing researchers refer to variation in quality levels of products ...

Significant time-varying risk premia exist in the foreign currency futures basis, and these risk premia are meaningfully correlated with common macroeconomic risk factors from equity and bond markets. The stock index dividend yield and the bond default and term spreads in the U.S. markets help forecast the risk premium component of the foreign currency futures basis. The specific source of risk...

A dynamic stochastic general equilibrium model with recursive utility, search frictions, and capital accumulation is a good start to forming unified theory of asset prices business cycles. The reproduces an equity premium 4.27% per annum, stock market volatility 12.42%, average interest rate 1.97%, while retaining plausible cycle dynamics. are strongly countercyclical, whereas the consumption g...