This paper characterizes the optimal risk-taking strategies of mutual fund managers competing in multi-period winner-take-all tournaments. With competition among mutual funds, every fund begins by taking maximum risk. In the final period, all funds continue to take maximum risk except possibly...

Global equity markets fell by nearly 5% overall on June 24, 2016 following news of the Brexit referendum result. Although nearly all EU stock market indices experienced additional significantly negative abnormal returns, especially poor performance was registered by the debt-ridden PIIGS group...

Global equity markets experienced a significantly negative return of over 4.7 percent on June 24, 2016 in response to news of Britain's decision (BREXIT) to leave the European Union. Stock market indices for members of the European Union were hard hit with nearly all experiencing significantly...

To examine the potential role cohort preferences play in asset pricing cycles and puzzles, we consider a model with stochastic generational variation in preferences. In our structure, the pricing kernel reflects an investing generation's consumption growth from mid-life to retirement rather than...

Recent regulatory proposals for margin requirements on non-cleared over-the-counter derivative products (i.e., derivatives that are not traded and not cleared on an exchange but instead are traded directly between two parties) could have resulted in dramatic changes in the ability of market...