Emissions abatement alone cannot address the consequences of global warming for
weather disasters. We model how society adapts to manage disaster risks to capital stock …

We find large overnight returns with no abnormal variance before nonfarm payrolls, ISM, and
GDP announcements, similar to the pre-FOMC returns. To explain this common pattern, we …

We show that endogenous variation in risk aversion over the business cycle can jointly
explain financial market responses to high-frequency monetary policy shocks with standard …

We construct macroeconomic attention indexes (MAI), which are new measures of attention
to different macroeconomic risks, including unemployment and monetary policy. Individual …

ABSTRACT I use nominal and real bond risks as new moments to discipline a New
Keynesian asset pricing model, where supply shocks, demand shocks, and monetary policy …

Using the expected option-implied variance reduction to measure the sensitivity of stock
returns to monetary policy announcement surprises, this paper shows monetary policy …

We present a dynamic Grossman-Stiglitz model with endogenous information acquisition to
explain the pre-FOMC announcement drift. Because FOMC announcements reveal …

I propose and test a new explanation for the pre-FOMC announcement drift puzzle. I show
that such a drift arises in a model where investors interpret a given FOMC action based on …

We document asset pricing implications of the new zero days-to-expiration (0DTE) options,
which today account for half of the total S&P 500 option volume. We show that:(i) most of the …

We provide a novel explanation for the empirical failure of the capital asset pricing model
(CAPM) despite its widespread practical use. In a rational-expectations economy in which …