Two recent asset pricing models share a common core of the addition of profitability and investment as factors, but differ in implementation. We adapt these models for the UK and argue that the Fama–French five-factor profitability factor offers the most potential.

We identify the conditions where robust mean–variance preferences, which capture ambiguity aversion, are observationally nonequivalent to subjective mean–variance preferences. Conversely, we also provide an example showing that observational equivalence holds regardless of the degree of...

The paper develops a housing deep-habit model to explore linkages between macroeconomic decisions and asset pricing of nondurable and housing goods. Owing to heterogeneous characteristics of housing assets, the model sheds insights into the counter-cyclical property of housing markups.

A restricted-perceptions equilibrium exists in which risk-averse agents believe stock prices follow a random walk with a conditional variance that is self-fulfilling. When agents estimate risk, bubbles and crashes arise. These effects are stronger when agents allow for ARCH in excess returns.

This paper shows that when Value-at-Risk constrained institutional investors care about their relative standings among the peer group, more risk averse investors would take more risk, which improves the risk sharing and lowers the volatility.

This paper extends Hong et al. (2007)’s model-free test to analyze the contagion. A simulation experiment reveals that our test has reasonable size and good power in finite sample. We use this test and find the strong evidence of contagion between crude oil and stock markets.

Amid its rapidly increasing usage and immense public interest the subject of Bitcoin has raised profound economic and societal issues. In this paper we undertake economic and econometric modelling of Bitcoin prices. As with many asset classes we show that Bitcoin exhibits speculative bubbles....

We discover mispricing in an apparently transparent market — the European soccer betting market. Efficiency differences between countries are accounted for by variations in league competitiveness. We conclude that barriers to efficiency (e.g., risk evaluation problems) may remain in...

Employing an augmented univariate EGARCH model, we estimate the dynamic impact of information arrival as measured by volume on asymmetric news in the pre and post 2009 global financial crisis in the Athens Stock Exchange (ASE). Our results reveal that trading volume appears to capture a...

This paper analyzes stock-price volatility in the presence of periodically collapsing Evans bubbles. We derive a volatility formula that establishes a link between the bubble component and stock-price volatility. We demonstrate how to fit the volatility equation to stock-market data.