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@ssrn.bsky.social Oct 10, 2026, 12:00 PM

This paper finds evidence of excess volatility that cannot be explained by standard discount-rate models. Across several financial markets, long-maturity claims are substantially more volatile than theory predicts. spkl.io/633257VCSX

#AssetPricing

Figure 1: Variance Swap Tests
Note. The figure plots the standard deviation of prices under the unrestricted factor model (solid line) and under the restricted model (dashed line). The circles in the unrestricted line represent the maturities we observe in the data. The numbers next to each circle are the Variance Ratios at each maturity. The shaded area encloses the 97.5th and 2.5th percentiles of the model-implied variance in bootstrap simulations. The left axis reports the volatility of prices.

@ssrn.bsky.social Oct 8, 2026, 6:00 PM

This paper finds that traditional macro and financial variables explain little of realized stock-market returns, while AI-extracted explanations from financial news account for roughly 30-40% of returns out of sample. spkl.io/633297VxcH

#AssetPricing

Figure 1: Out-of-sample explanatory power of market returns by news and non-news explanations

@ssrn.bsky.social Oct 6, 2026, 6:00 PM

This paper argues that uninsurable tail risk in workers' earnings can help explain higher risk premia and return volatility in financial markets. Links labor-market risk sharing directly to asset pricing outcomes. spkl.io/633247VXbn

#AssetPricing #LaborEconomics

Figure 2: Euler equation errors for g = gL and g= gL.

@ssrn.bsky.social Oct 2, 2026, 6:00 PM

The largest U.S. bank stocks earn lower risk-adjusted returns than smaller banks, despite being more highly leveraged.The evidence is consistent with investors pricing in greater protection for large banks during crisis scenarios. spkl.io/633237pFqx

#Banking #AssetPricing

Table BI
Measuring Residual Risk Exposure.

@ssrn.bsky.social Sep 27, 2026, 8:00 PM

This paper develops a global asset-demand framework linking portfolio flows, exchange rates, and asset prices. The results show that investor demand plays a major role in shaping global financial markets. spkl.io/633267TiKC

#InternationalFinance #AssetPricing

Figure 4. Illustration of residual supply. This figure illustrates the residual supply of Dutch and Australian debt from the perspective of US investors. German investors have a higher demand for Dutch than Australian debt through a gravity effect that depends on the bilateraldistance between countries.

@ssrn.bsky.social Sep 25, 2026, 12:00 PM

This paper finds same-weekday momentum in China's A-share market: stocks' returns are positively related to their returns on the same weekday in prior weeks, with the effect strongest on Mondays and Fridays. spkl.io/633277TgbZ

#ChinaMarkets #AssetPricing

Figure 1. Day-of-the-week seasonalities in stock returns
This figure plots the coefficients (𝑏) of bivarate Fama-MacBeth regressions of daily returns on its k-th lag, where k ranges from 6 to 260. Coefficients of regressions using lags 1 to 5 are out of scale and omitted in the figure. Holidays and market closures are accounted for so that lags of multiples of five always refer to the same weekday. These regressions include the past return from month t-12 to t-2 to control for potential one-year return momentum. The circles denote weekly lags. The regressions use daily data for Chinese A-shares listed on Shanghai and Shenzhen exchanges from January 2000 to December 2023.

@ssrn.bsky.social Sep 18, 2026, 12:00 PM

This paper argues that factor timing matters. Updating factor classifications with newly available accounting information reveals a fast-moving information component in returns that traditional factor models often miss. spkl.io/633227rx3A

#AssetPricing #FactorInvesting

Figure 2. Information Age through the Calendar Year Nov Dec
The figure plots mean filing age by calendar month from January 1995 through December 2025 using the information age measure and aggregation described in Table II. Each point averages the corresponding calendar month across 31
years, and the lines connect those monthly means. The horizontal axis runs from January through December, and the vertical axis reports mean filing age in days and ranges from 90 to 550 days. The dark gray dashed line with open circles denotes Stale, and the blue solid line with filled diamonds denotes Fresh. The vertical dotted line between June and July marks the June 30 Stale refresh, whose new assignments apply to July returns. Light shading is the month-by-month Stale-minus-Fresh age gap.

@ssrn.bsky.social Sep 16, 2026, 12:30 PM

This paper develops a method to estimate the equity term structure from stock prices and projected cash flows, finding an upward-sloping risk-premium structure on average that flattens during recessions. spkl.io/633287RCL8

#AssetPricing #Finance