This paper investigates the changes in the investment portfolio performance after including VIX. We apply different models for optimal portfolio selection (Markowitz and Black-Litterman) assuming both the possibility of short sale and the lack of it. We also use various assets, data frequencies,...

This paper employs a new rich source of data on worker reallocation in transition economies and provides a decomposition of the aggregate changes into those attributable to sectoral reallocation, those attributable to transition per se and those attributable to demographics. Aghion and Blanchard...

The adjustment speed of delta hedged options exposure depends on the market realized and implied volatility. We observe that by consistently hedging long and short positions in options we can eventually end up with pure exposure to volatility without any options in the portfolio at all. The...

The assumption of the stability of preferences is a fundamental one in the theory of the consumer. Many papers within the stated preferences literature have tested this assumption, and have found mixed results. Individuals may become more sure of their preferences as they repeat a valuation task...

The article presents a simple parameterization of the volatility surface for options on the S&P 500 volatility index, VIX. Specifically, we document the following features of VIX implied volatility: (i) VIX at-the-money (ATM) implied volatility correlates strongly with the volatility skew in S&P...

We report the results of an experimental study analyzing the effects of Internet piracy on book sales. We conducted a year-long controlled large-scale field experiment with pre-treatment pair matching. Half of the book titles received experimental treatment, in which a specialized agency would...

This paper tests whether changes in “incidental emotions” lead to changes in economic choices. Incidental emotions are experienced at the time of an economic decision but are not part of the payoff from a particular choice. As such, the standard economic model predicts that incidental...

We use a novel field experiment which jointly tests two implicit assumptions of updating models in a joint framework: that new information leads to new knowledge and that new knowledge can affect economic decisions. In the experiment, we elicit subjects’ prior knowledge state about a good’s...

Nowadays we observe a consensus in the development literature that the quality of governance matters for economic development. Therefore, many postulate the implementation of good governance principle, however, that very idea is not well defined and conceptualized. This paper offers some...

We propose an experimental method whose purpose is to induce selfish behavior in games for a broad class of social preferences. It provides a theoretical framework for testing game theoretical predictions by confronting subjects with a commonly known payoff matrix actually representing their...