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Financial markets, in particular derivative markets, provide fertile ground for understanding how perceptions of economic uncertainty and cashflow risk manifest themselves in asset prices. We demonstrate that the variance premium, defined as the difference between the squared VIX index and expected realized variance, captures attitudes toward uncertainty. We show conditions under which the variance premium displays significant time variation and return predictability. A calibrated, generalized Long-Run Risks model generates a variance premium with time variation and return predictability that is consistent with the data, while simultaneously matching the levels and volatilities of the market return and risk free rate.

Our evidence indicates an important role for transient non-Gaussian shocks to fundamentals that affect agents' views of economic uncertainty and prices. Abstract: What is the effect of non-tradeable idiosyncratic risk on asset-market risk premiums?

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Constantinides and Duffie and Mankiw have shown that risk premiums will increase if the idiosyncratic shocks become more volatile during economic contractions. We add two important ingredients to this relationship: i the life cycle, and ii capital accumulation. We show that in a realistically calibrated life-cycle economy with production these ingredients mitigate the ability of idiosyncratic risk to account for the observed Sharpe ratio on U. While the Constantinides-Duffie model can account for the U. Almost all of this reduction is due to capital accumulation.

Life-cycle effects are important in our model — we demonstrate that idiosyncratic risk matters for asset pricing because it inhibits the intergenerational sharing of aggregate risk — but their net effect on the Sharpe ratio is small. Joao F. Abstract: We use a production-based asset pricing model to investigate whether financing constraints are quantitatively important for the cross-section of returns.

Specifically, we use GMM to explore the stochastic Euler equation imposed on returns by optimal investment.

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Our methods can identify the impact of financial frictions on the stochastic discount factor with cyclical variations in cost of external funds. We find that financing frictions provide a common factor that improves the pricing of cross-sectional returns. Moreover, the shadow cost of external funds exhibits strong procyclical variation, so that financial frictions are more important in relatively good economic conditions. Abstract: In their seminal paper, Mehra and Prescott , Rajnish Mehra and Edward Prescott were the first among many subsequent authors to suggest that non-traded labor-market risk may provide a resolution to the equity-premium puzzle.

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Sloan Research Fellowship - Wikipedia

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Murray Gell-Mann. Leon N. Sheldon Lee Glashow. Steven Weinberg. Val L. James W. Kenneth G.

Jack Steinberger. Melvin Schwartz. Frederick Reines. Unlike a traditional degree program, there are no course requirements. Those goals may be to develop skills in global entrepreneurship, to broaden their understanding of strategic innovation, or to explore international finance and capital markets. Visiting Fellows take MIT Sloan courses with world-renowned faculty; collaborate, study, and network with other MIT students; and participate in student clubs, conferences, and special seminars.

In addition, Visiting Fellows have access to a wealth of cultural, social, and recreational activities, both on campus and in Cambridge and Boston. Visiting Fellows enroll as full-time students for either one or two semesters. In consultation with an MIT Sloan faculty advisor, Visiting Fellows choose courses to meet their academic and professional goals. Visiting Fellows may also participate in an independent study with a faculty member on a specific topic of their interest.

Visiting Fellows take between 36 and 54 credit units, or about four to six courses, per semester. Visiting Fellows typically have one or more university degrees and several years of work experience before they apply to the program. However, outstanding undergraduate students may apply. Visiting Fellows who successfully complete their course of study will receive a program certificate from MIT Sloan.

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The Visiting Fellows brings together cohorts from various backgrounds and walks of life. We take great care to make sure that students are prepared for the high level of academic rigor experienced in the Sloan classroom and are capable of keeping up with other Sloan students.

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If you qualify for this waiver, please email visitingfellows. The Admissions Committee carefully reviews the application of each individual and will notify applicants of their decision by the deadlines listed below. Interview invitations will be extended up until the final decision date. Please note that in the interest of confidentiality, we will only deliver official decisions via email. The Admissions Committee will not accept applications between October 2 - October 31 for the spring term, and between April 2 - April 30 for the fall term.

As part of the admission process, interviews are by invitation only and do not guarantee admission. Candidates will be invited by email to interview up until the notification date. Interviews are conducted via Skype. In-person interviews on campus are an option for candidates who may be in the greater Boston area. The Visiting Fellows Program is an opportunity for you to build your skills, expand your global leadership network, and define your place in the world.

The following are a few attributes that we would like to see in candidates:. Bidding allows students to rank their top choices, and indicate how much they want a particular class over another. The mechanics of bidding for courses are the following:.

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