We conduct an experiment to explore the time-consistency of risk preferences in a multi-period betting game. Specifically, subjects planned their contingent betting decisions in advance then played the game dynamically later to determine whether their respective decisions matched. We find that...

Empirical evidence on the out-of-sample performance of asset-pricing anomalies is mixed so far and arguably is often subject to data-snooping bias. This paper proposes a method that can significantly reduce this bias. Specifically, we consider a long-only strategy that involves only published...

Supersaturated designs (SSDs) can save considerable cost in industrial experimentation when many potential factors are introduced in preliminary studies. Analyzing data in SSDs is challenging because the number of experiments is less than the number of candidate factors. In this paper, we...

In this paper we are concerned with Bayesian statistical inference for a class of elliptical distributions with parameters[mu]and[Sigma]. Under a noninformative prior distribution, we obtain the posterior distribution, posterior mean, and generalized maximim likelihood estimators...