A cross-sectional analysis of asset holdings

Empirical Cross-Sectional Asset Pricing∗

I review recent research efforts in the area of empirical cross-sectional asset pricing. I start by summarizing the evidence on cross-sectional return predictability and the failure of standard (consumption) CAPM models and their conditional versions to explain these predictability patterns. One response in part of the recent literature is to focus on adhoc factor models, which summarize the cr...

Cross Sectional Asset Pricing Tests

Empirical cross-sectional asset pricing: a survey

I review the state of empirical asset pricing devoted to understanding crosssectional differences in average rates of return. Both methodologies and empirical evidence are surveyed. Tremendous progress has been made in understanding return patterns. At the same time, there is a need to synthesize the huge amount of collected evidence.

Bilateral trade , openness and asset holdings

Health and ( Other ) Asset Holdings JULIEN HUGONNIER

Despite clear evidence of correlations between financial and medical statuses and decisions, most models treat financial and health-related choices separately. This article bridges this gap by proposing a tractable dynamic framework for the joint determination of optimal consumption, portfolio holdings, health investment, and health insurance. We solve for the optimal rules in closed form and c...