Patrick C. Kiefer


My research covers asset pricing and banking.

Recent work characterizes financial intermediation as an outcome in a large incomplete-markets economy with aggregate risk.  Investors facing uninsurable private risks have intertemporal substitution incentives to finance the intermediary ex-ante, and risk-based portfolio choice incentives to rollover financing ex-post. This simple connection can help explain the link between liquidity-producing financial intermediaries and asset prices.
In other recent work, I extract common components of time-varying expected returns to forecast US equity and fixed-income portfolio returns out-of-sample.  Conditioning on common variables in expected returns improves precision in risk factor replicating portfolios for the Market, HML and Momentum.  Size (SMB) replicating portfolios are more efficient, but contain no systematic risk. In addition to contemporaneous prices, linear combinations of past factor returns are informative.

For more details about my work, click Research. For more information about me, see my CV.