Chen Wang

TL;DR: The authors showed that the expected return is countercyclical and responds strongly to monetary policy shocks in the cross-section of the U.S. stock market, with an out-of-sample R2 of 19%.

TL;DR: The authors study how professional forecasts of interest rates across maturities respond to new information and propose a new explanation based on autocorrelation averaging, whereby, due to limited cognitive processing capacity, forecasters' estimate of the autocorerelation of a given process is biased toward the average autoregressive of all the processes they observe.

TL;DR: In this paper, the authors show that a mutual fund's demand for a pricing factor, measured by the loading of the fund's returns on the factor's returns, is persistent over time and leads to predictable trading from mutual funds and contributes to cross-sectional return predictability.

TL;DR: Li et al. as discussed by the authors focus on the left-tail (right-tail) risk of stocks, that is, the huge losses (gains) of financial assets with a small probability, and show that prospect theory and salience theory fail to capture the left tail effect, while the right tail effect is consistent with these theories.

TL;DR: In this paper, the authors used an exponential-affine model to find a one-to-one mapping between price ratio and the expected market return when the expectation of future cash flow is transient, and found that return predictability is stronger after market downturns, and holds outside the U.S.