We develop a model that analyzes competition between a non-intermediated market (such as an Electronic Communications Network) and an intermediated market (such as via the market specialist's structure within the NYSE) when both markets are allowed to trade the same securities. Specialists are...

This paper studies the relationship between investor risk preferences and asset returns. The paper provides direct evidence on the risk aversion of participants in a securities market. It uses the prices of lottery bonds issued by the Imperial Russian Government in 1864 and 1866 to estimate...

The growth recession that started in mid of 2000 lasted almost 3 years is a subject that got a lot of media attention but much lesser academic search interest. The fact that the stock market, inflated as it was prior to its prolonged collapse after March 2000, lost an equivalent of 30% of the...

The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that take human reasoning into account. This approach has been the cornerstone of modern economic theory. We explain why this is so, extolling the virtues of equilibrium theory; then...

Informal lending and savings institutions exist around the world, and often include regular door-to-door deposit collection of cash. Some banks have adopted similar services in order to expand access to banking services in areas that lack physical branches. Using a randomized control trial, we...

The paper examines the risk-return tradeoff an individual or trustee who decides to liquidate a position in an asset. Converting concentrated wealth into cash is not without risk as it may not be instantaneous. Just like the selection of an optimal asset mix along the 'efficient frontier', the...

The paper studies the impact of the portfolio constraint imposed by the consumption demand for housing (the quot;housing constraintquot;) on the household's optimal holdings of financial assets. Since the ratio of housing to net worth declines as the household accumulates wealth, the housing...

This study argues that diminishing marginal impatience (DMI) as an intuitively plausible behavioural assumption of endogenous time preference has the potential for resolving important issues like the equity premium puzzle. It shows that, while applied to a model in the traditional overlapping...

We document strong persistence in the performance of trades of individual investors. The correlation of the risk-adjusted performance of an individual across sample periods is about 10 percent. Investors classified in the top performance decile in the first half of our sample subsequently...

This study analyzes the distribution of investment horizons in a large, proprietary panel of all shareholders in one no-load mutual fund family. A duration model shows that there are observable shareholder characteristics that enable the fund to predict reliably on the day each account is opened...