Some investment advisors offer multiple versions of a fund with the same manager and highly correlated returns. But these twinʺ funds are separate portfolios for different investors with differing abilities to select and monitor managers. Using a matched sample of retail and institutional twin...

We provide a model and empirical tests showing how an active acquisition market positively affects firm incentives to innovate and conduct R&D. Our model shows how the incentives of small firms to conduct R&D in order to innovate increase with competition, demand and the probability that they...

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...

We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments. The conditional expected returns...

We investigate whether bank performance during the recent credit crisis is related to chief executive officer (CEO) incentives before the crisis. We find some evidence that banks with CEOs whose incentives were better aligned with the interests of shareholders performed worse and no evidence...

This article examines the recent regulatory developments with regard to short selling. Short selling regulation is an important factor in firm governance because it affects the way in which firms are subject to market discipline. We begin with a comprehensive compilation of emergency...

We provide definitive results to close the debate between Eeckhout (2004, 2009) and Levy (2009) on the validity of Zipf's law, which is the special Pareto law with tail exponent 1, to describe the tail of the distribution of U.S. city sizes. Because the origin of the disagreement between...

Using quarterly data over 1973:4-2008:2, two-variable systems of house prices and income are specified for three major house-owning economies: New Zealand (N.Z.), the U.K. and the U.S. After considering differences in price−income relationships over sub-periods, the analysis compares responses...

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by a simple but effective (pseudo) long memory...