In this paper, we study mutual fund performance in terms of timing ability with daily data from 1998 to 2009. A novel timing model is proposed by incorporating the regime-switching framework into the Treynor and Mazuy (1966) model. The volatility follows a generalized autoregressive conditional...

Social Security rules that determine retirement, spousal, and survivor benefits, along with benefit adjustments according to the age at which these are claimed, open up a complex set of financial options for household decisions. These rules influence optimal household asset allocation,...

Household decisions are profoundly shaped by a complex set of financial options due to Social Security rules determining retirement, spousal, and survivor benefits, along with benefit adjustments that vary with the age at which these are claimed. These rules influence optimal household asset...

Household decisions are profoundly shaped by a complex set of financial options due to Social Security rules determining retirement, spousal, and survivor benefits, along with benefit adjustments that vary with the age at which these are claimed. These rules influence optimal household asset...

Household decisions are profoundly shaped by a complex set of financial options due to Social Security rules determining retirement, spousal, and survivor benefits, along with benefit adjustments that vary with the age at which these are claimed. These rules influence optimal household asset...

Household decisions are profoundly shaped by a complex set of financial options due to Social Security rules determining retirement, spousal, and survivor benefits, along with benefit adjustments that vary with the age at which these are claimed. These rules influence optimal household asset...

We show that option-implied jump tail risk estimated prior to earnings announcements strongly predicts post-earnings risk-adjusted abnormal stock returns. The predictive power of implied jump tail risk is particularly strong on extreme abnormal stock returns whose absolute values exceed 10%. The...