expectations ; forecast averaging ; equity premium puzzle …

By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty … shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility … the US financial markets, irrespective of financial conditions. Moreover, our empirical results show that the rebound in …

during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …

The paper links finance theory to labor economics and political economy in the context of migration and immigration …

This paper investigates collective denial and willful blindness in groups, organizations and markets. Agents with … can also seize asset markets, generating investment frenzies and crashes. -- groupthink ; organizational culture …

's collapse. We conclude that trading decisions are profoundly biophysical in a manner not captured by efficient markets models …

We challenge the recent claim that mispricing in the experimental asset markets introduced by Smith, Suchanek, and …