In this study, we demonstrate how price limits can affect a return series on limit-hitting days. Our identification of two effects - a ceiling effect and a cooling or heating effect (C-H effect) is based on a resampling method suggested by Wei and Chiang (1999). We estimate the C-H effect by...

This paper tests the empirical importance of the price dispersion predictions of the Prescott-Eden-Dana (PED) models. Equilibrium price dispersion is derived in a setting with costly capacity and demand uncertainty where different fares can be explained by the different selling probabilities....

"This paper proposes an econometric model to identify unobserved consumer types in the credit market. Consumers choose different amounts of loan because of differences in their time or risk preferences (types). Thus, the unconditional probability of default is modeled using a mixture density...