Existing studies of household stock trading using administrative data offer conflicting results: discount brokerage accounts exhibit excessive trading, while retirement accounts show inactivity. This paper uses population-wide data from PSID and SCF to examine the overall extent of household...

This study formalizes the departure between risk-neutral and physical index return volatilities, termed volatility spreads. Theoretically, the departure between risk neutral and physical index volatility is connected to the higher-order physical return moments and the parameters of the pricing...

The treatment of this article renders closed-form density approximation feasible for univariate continuous-time models. Implementation methodology depends directly on the parametric-form of the drift and the diffusion of the primitive process and not on its transformation to a unit-variance...

The treatment of this article renders closed-form density approximation feasible for univariate continuous-time models. Implementation methodology depends directly on the parametric-form of the drift and the diffusion of the primitive process and not on its transformation to a unit-variance...

This paper provides a closed-form density approximation when the underlying state variable is a one-dimensional diffusion. Building on Ait-Sahalia (2002), we show that our refinement is applicable under a wide class of drift and diffusion functions. In addition, it facilitates the maximum...

This paper proposes and empirically investigates a family of credit risk models driven by a two-factor structure for the short-interest rate and an additional third factor for firm-specific distress, using the reduced-form framework of Duffie and Singleton (1999). The set of firm-specific...

Do stocks with faster growth potential exhibit superior average returns? Exploiting a parameterized equity valuation model, we analytically solve for the expected rate of return. We develop theoretical restrictions under which growth outlook induces a higher expected rate of return. Empirically,...

Is wider access to stockholding opportunities related to reduced wealth inequality, given that it creates challenges for small and less sophisticated investors? Counterfactual analysis is used to study the influence of changes in the US stockholder pool and economic environment, on the...

This paper investigates the role of skewness preference in cross-sectional pricing of NYSE, AMEX, and NASDAQ stocks over the long sample period of January 1926-December 2005 as well as two subsamples. Portfolio-level analyses and the firm-level cross-sectional regressions indicate a negative and...

We investigate, using the 2002 US Health and Retirement Study, individuals' insecurity and expectations about terrorism, and their effects on household financial decisions. We find that those without any military experience, the less educated, the more religious and females worry a lot about...