In this study, we examine the rationale that informed traders use in choosing various financial instruments in order to speculate on the volatility of the underlying asset, here a common stock. Using a continuous-time trading model, we demonstrate that the quality of the private information...

Securitized real estate returns have traditionally been forecasted using economic variables. However, no consensus exists regarding the variables to use. Financial and real estate factors have recently emerged as an alternative set of variables useful in forecasting securitized real estate...

The empirical literature on the asset allocation and medical expenditures of U.S. households consistently shows that risky portfolio shares are increasing in both wealth and health whereas health investment shares are decreasing in these same variables. Despite this evidence, most of the...

A random variable dominates another random variable with respect to the covariance order if the covariance of any two monotone increasing functions of this variable is smaller. We characterize completely the covariance order, give strong sufficient conditions for it, present a number of examples...

In modern portfolio theory, financial portfolios are characterised by a desired property, the ‘reward’, and something undesirable, the ‘risk’. While these properties are commonly identified with mean and variance of returns, respectively, we test alternative specifications like partial...

We use a parametric portfolio approach to estimate optimal commercial real estate portfolio policies. We do so using the NCREIF data set of commercial properties over the sample period 1984:Q2 to 2009:Q1. The richness of this extensive data set and the flexibility of the parametric portfolio...

The early stage of the recent ?nancial crisis was marked by large value losses for bank stocks. This paper identi?es the equity funds most affected by this valuation shock and examines its consequences for the non-?financial stocks owned by the respective funds. We find that (i) ownership links...

This paper explores the idea that the speed with which equity prices reflect any benefits or costs of voluntary disclosure quality (VDQ) varies across firms. We find that for firms where we expect informational efficiency to be high, VDQ is not associated with returns beyond those available...

Ambiguity aversion in dynamic models is motivated by the presence of unknown time-varying features, which agents do not understand and cannot theorize about. We analyze the consequences of this assumption for economic agents and model builders, who typically need to estimate a model, e.g., to...