The authors address the following two fundamental questions in the theory of exact aggregation: (1) What restrictions, if any, need to be imposed on the vector of aggregates in order that the aggregate demand functional representation be nontrivial and economically interesting? (2) What economic...

This paper examines the empirical relation among trading volume, informational variables (i.e., precision and differential beliefs), the bid-ask spread components, and price volatility using a structural model that treats the spread components, trading volume, and price volatility as endogenous....

The relationship between risk and return lies at the heart of modern finance. This relationship is embodied within such core concepts as the capital market line and the security market line. Both of these graphs feature a positive slope, meaning that the higher the risk the higher the expected...

The paper analyzes the manner in which sentiment affects the pricing kernel. Sentiment is another term for traders' errors. There are two main questions addressed in the paper. The central question is: How can the concept of sentiment be formally defined so as to identify the manner in which...

Behavioral finance endeavors to bridge the gap between neoclassical finance and cognitive psychology. Now an established field, behavioral finance looks at the investors' decision making formula as well as at their behavior, which in turn sheds light on the observed departures from the...

The relationship between risk and return lies at the heart of modern finance. This relationship is embodied within such core concepts as the capital market line and the security market line. Both of these graphs feature a positive slope, meaning that the higher the risk the higher the expected...

6/22/00: web retrieval--abstract only--KathyUniversity of WashingtonSchool of Business AdministrationJournal of Financial and Quantitative Analysishttp://depts.washington.edu/jfqa/Vol. 35, No. 2, June 2000Behavioral Portfolio TheoryHersh Shefrin and Meir StatmanAbstract:We develop a positive...

We know from empirical studies that stocks of small companies with high book-to-market ratios have provided higher returns than stocks of large companies with low book-to-market ratios. But do senior executives, outside directors and financial analysts believe that? We show that senior...