Inventory Investment and the Cost of Capital

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Microprudential Regulation in a Dynamic Model of Banking (2014, methodology): “Investors’ preferences are represented by a stochastic discount factor that is parameterized as in Jones and Tuzel (2013), which delivers countercyclical risk premia.”
Evaluating cross-sectional forecasting models for implied cost of capital (2014, methodology): “, Jones and Tuzel 2012; Lee et al. 2011; Patatoukas 2011). Given the widespread adoption of the HVZ model to generate forecasts in lieu of analyst forecasts, it is crucial to evaluate the model and present alternatives to address its weaknesses. Gerakos and Gramacy (2013) show that the HVZ model per”