This paper investigates the relation between the conditional expected equity risk premium and the slope of the term structure of interest rates. Theoretically, these variables are linked, the relation may be nonlinear, and negative risk premiums are consistent with equilibrium. Given these...

This paper analyzes the long term effects of various genetic policies that could be applied at a national level in Zaire to fight sickle cell anemia: the prohibition of marriages between individuals with the sickle cell trait, increased efficacy of the medical cure of sickle cell anemia,...

No-arbitrage models are extremely flexible modelling tools but often lack economic motivation. This paper describes an equilibrium consumption-based CAPM framework based on Epstein-Zin preferences, which produces analytic pricing formulas for stocks and bonds under the assumption that macro...

It is generally believed that security prices are determined by expectations concerning firm and economic variables. Despite this belief there is very little research examining expectational data. In this paper we examine how expectations concerning earning per share effect share price. We first...

Merton, Perrakis and Ryan, Levy, and Ritchken have established option pricing bounds under first and second stochastic dominance preferences. These bounds are particularly important for valuing contingent claims when continuous trading in the claim and/or underlying security does not exist. This...

The use of options in altering the return distribution of stock portfolios has found increasing interest among investment managers. The potential of options in forming portfolio return distributions that are more consistent with investor preferences has been well developed, but determining the...

Extracting sentiment from text is a hard semantic problem. We develop a methodology for extracting small investor sentiment from stock message boards. The algorithm comprises different classifier algorithms coupled together by a voting scheme. Accuracy levels are similar to widely used Bayes...

In this paper, we develop an efficient algorithm to value options under discrete-time GARCH processes. We propose a procedure based on dynamic programming coupled with piecewise polynomial approximation to compute the value of a given option, at all observation dates and levels of the state...

New lock box solution techniques have recently been suggested by Stone and Nauss-Markland. This paper briefly discusses these new methodologies and shows how the algorithms can be combined into a third solution procedure which exploits the computational efficiency of the Stone heuristic and...