I assess time-series return predictability using a weighted least squares estimator that is around 25% more efficient than ordinary least squares (OLS) because it incorporates timevarying volatility into its point estimates. Traditional predictors, such as the dividend yield, perform better in-and out-of-sample when using my estimator, indicating the insignificant OLS estimates may be false negatives driven by a lack of power. Some newer predictors, such as the variance risk premium and the president's political party, are insignificant when using my estimator, indicating the significant OLS estimates may be false positives driven by a few periods with high expected volatility. (JEL G10, G11, G12)

Abstract We use an event study approach to estimate the burden of the financial regulations associated with Systemically Important Financial Institution (SIFI) designation. On March 30, 2016, the US District Court determined that MetLife’s SIFI designation was arbitrary and capricious because the Financial Stability Oversight Council (FSOC) failed to weigh the economic cost of the financial regulation on MetLife against the benefits of increased financial stability. We find significant positive abnormal returns for MetLife and AIG on the date of the ruling. We estimate that the lifting of the SIFI designation created $1.4 billion in corporate wealth for MetLife, suggesting that MetLife would be 3.4% more profitable as a non-SIFI. These gains fall short of the $8 billion stipulated by MetLife in its complaint. We also find significant abnormal returns to SIFI institutions on the day following the US Presidential election.

Hjertstrand et al. (2016) recently tested weak separability of the direct utility function using U.S. data on consumption goods, leisure, financial and monetary assets. This paper investigates different forms of weak separability. While weak separability of the direct utility function provides the best fit, by allowing for small errors in the data we find some evidence that financial and monetary assets can be rationalized by a weakly separable indirect utility function. Further we find that M1, a modern analog of money defined by Friedman and Schwartz (1963) and narrow and broader real sector aggregates can be rationalized by indirect weak separability. We also find that M1 and real sector aggregates can be rationalized by homothetic weak separability.

[Rule 10b5-1 enables insiders to preplan future trades before becoming informed. Within a strategic rational expectations equilibrium framework, I characterize an insider’s unique optimal trading plan, which balances portfolio diversification against exploitation of the rule’s selective termination option. Because the rule reduces adverse selection and provides insurance against bad outcomes, the rule generally improves welfare for both the insider, who later becomes informed, and uninformed outsiders, provided there exists a sufficient degree of information asymmetry. Eliminating the rule’s selective termination option results in an even greater welfare improvement under a large subset of parametric conditions.]

Abstract Rule 10b5-1 enables insiders to preplan future trades before becoming informed. Within a strategic rational expectations equilibrium framework, I characterize an insider’s unique optimal trading plan, which balances portfolio diversification against exploitation of the rule’s selective termination option. Because the rule reduces adverse selection and provides insurance against bad outcomes, the rule generally improves welfare for both the insider, who later becomes informed, and uninformed outsiders, provided there exists a sufficient degree of information asymmetry. Eliminating the rule’s selective termination option results in an even greater welfare improvement under a large subset of parametric conditions. Received March 9, 2018; editorial decision January 11, 2019 by Editor Wei Jiang.