Inflation risk premium is hard to identify in the data, because inflation induced by real shocks and that by nominal shocks carry risk premiums with opposite signs. We show that in the Calvo model of price rigidity, a firm's exposure to inflation risk –induced by monetary policy– is a monotonic function of its profit margin. Using profit margin sorted portfolios around pre-scheduled FOMC announcements, we identify an inflation risk premium from the cross-section of equity returns that supports the Calvo mechanism of price adjustment. We also develop a continuous-time Calvo model to guide our empirical analysis and provide an explanation for the inflation risk premium observed in the data.

We demonstrate that the literature on corporate bond factors suffers from replication failures due to the lack of a common error-free dataset, inconsistent error-handling, and inconsistent factor constructions. Going beyond identifying this replication crisis, we create a clean database of corporate bond returns and propose a robust factor construction. Using this framework, we show that most, but not all, factors fail to replicate. Further, we show that a number of equity signals that are new to the corporate bond literature predict bond returns. In summary, most known factors fail, but so does the CAPM for corporate bonds.

Trading data from Finland show that rank-and-file employees buy options written on their employers’ stocks. These purchases contain price-relevant information: weekly excess returns on the underlying stocks are over 60 basis points. The informativeness is most pronounced before earnings announcements, extends to firms in the employer’s supply chain, is not driven by industry knowledge, and disappears upon job separation. My results show that some rank-and-file employees actively attempt to exploit their information advantage by trading on the option market, raising important questions about firms’ disclosure policies and the alignment of employee incentives with market efficiency. Consistent with prospect theory, this behavior is more prevalent after employees experience large financial losses.