We examine the risk neutral probability density (RND) for the S&P 500 extracted from real-time bid and ask quotes for index options, under extreme market stress during the fall of 2008. The RND provides exceptional detail about investors' expectations as intraday volatility increased to a level...

This paper proposes a swarm intelligence approach based on a disjunctive graph model in order to schedule a manufacturing system with resource flexibility and separable setup times. Resource flexibility assigns each operation to one of the alternative resources (assigning sub-problem) and,...

This paper explores the effects of mandatory third-party review of mortgage contracts on consumer choice. The study is based on a legislative pilot carried out in Illinois in 2006, under which mortgage counseling was triggered by applicant credit scores or by their choice of ldquo;risky...

We present evidence that uncertainty affects trading strategies of institutional investors. Using 20 years of holdings data of U.S. institutional investors, we document that institutional investors hold high uncertainty stocks for shorter periods and they earn lower profits from trading these...

We study the long-term performance of acquirers with respect to their size and method of payment. Our results shed new light on why stock acquirers appear to underperform cash acquirers in some studies. We present two main results. First, there is no economically or statistically significant...

During the housing boom, financially constrained home buyers artificially inflated transaction prices in order to draw larger mortgages. Using transaction data from Illinois that includes sellers' offers to inflate prices, I estimate that in 2005-2008, up to 16% of highly-leveraged transactions...

It has been documented that insiders trade when they perceive their firms are mispriced and when they hold private information about future cash flows. Based on these findings, we test whether insiders at firms with high-idiosyncratic risk (which is associated both with financial anomalies and...

We measure the effect of an anti-predatory pilot program (Chicago, 2006) on mortgage default rates to test whether predatory lending was a key element in fueling the subprime crisis. Under the program, risky borrowers and/or risky mortgage contracts triggered review sessions by housing...