Assistant Professor of Finance
Ben Matthies is an Assistant Professor of Finance at the University of Notre Dame. His interests are in Asset Pricing and Behavioral Finance and his research studies how individuals perceive comovement between pairs of variables and the implications of biases in these perceptions for asset prices and macroeconomic forecasts. Professor Matthies teaches Investment Theory for undergraduates.
“Long Run Risk: Is It There?” Working Paper 2019.
This paper documents the existence of long run risk in consumption growth. We take a novel approach using news coverage to capture investor concern about economic growth prospects. We provide evidence that consumption growth is highly predictable over long horizons - our measure explains up to 24 percent of cumulative future consumption growth at the 6-year horizon and beyond. Furthermore, we show a strong connection between this predictability and asset prices. Innovations to our measure price 51 standard portfolios in the cross-section and this 1-factor model outperforms many benchmark multi-factor models.