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News: We are starting a new Master in Finance Program at Chicago Booth. Applications open now. First cohort will start August 2024!

The applications process for the Macro Finance Research Program Summer Session for Young Scholars to be held on August 5-8, 2024 at The University of Chicago will launch on January 3, 2024. Interested PhD students who wish to apply can learn more here:

Using new data on flows across many asset classes to study the rebalancing behavior of US households, including high-net-worth individuals, in response to market fluctuations, from Xavier Gabaix, Ralph S.J. Koijen, Federico Mainardi, Sangmin Simon Oh, and Motohiro Yogo nber.org/papers/w32001

🚨Announcement: Virtual Workshop on Demand System Asset Pricing🚨 Together with Xavier Gabaix and Motohiro Yogo, we will organize a virtual workshop on using asset demand systems to answer questions in asset pricing and macro finance.

I'm hiring a #predoc to work with me at Harvard finance/macro/behavioral, and/or on Machine Learning (also with my great coauthors Ralph S.J. Koijen Motohiro Yogo Rob Richmond), starting in the summer 2024! Apply here: rb.gy/s2zwo3 Econ RA Listings PREDOC.org

New working paper, "Limited Risk Transfer Between Investors: A New Benchmark for Macro-Finance Models," from Xavier Gabaix, Ralph S.J. Koijen (Chicago Booth), Federico Mainardi, Sangmin Simon Oh, and Motohiro Yogo. ow.ly/EBO250UBw5f

Using new household-level portfolio data including over 400 billionaires finds risk transfer (how much risk changes hands) is small: 0.65 percent per quarter. Standard models, however, predict 10 times more. A new model with inelastic demand provides reconciliation, from

Call for papers: NBER Insurance Working Group Meeting in Cambridge, MA on May 9, 2025. Please submit your papers by midnight ET on February 17, 2025 at conference.nber.org/confsubmit/bac…

🚨#Predoc position! I'm hiring a pre-doctoral fellow at Chicago Booth to work on AI and machine learning applications in asset pricing, starting in the summer of 2025. For details and how to apply: tinyurl.com/4snrabx8 Econ RA Listings #EconTwitter

Asset embeddings, derived from portfolio holdings using AI/machine learning, predict relative valuations, explain stock return comovement, and forecast portfolio decisions, from Xavier Gabaix, Ralph S.J. Koijen, Rob Richmond, and Motohiro Yogo nber.org/papers/w33651

Keynote Lecture at NBER LTAM. What is demand system asset pricing (Ralph S.J. Koijen and mature yogo, 2019)? How does it relate to the SDF approach? How does identification work? How can it help my research and teaching? video: youtu.be/9C2uO0P2tLk slides: conference.nber.org/confer/2025/LT…

If you'd like to learn more about demand system asset pricing, you can sign up for an online workshop taught by Ralph S.J. Koijen and Motohiro Yogo on May 5, 12, and 19 at 9am-noon ET. See registration link below. #DSAP