House prices vary with location. At the same time the border between two neighboring housing markets tends to be fuzzy. When we seek to explain or predict house prices we need to correct for spatial price variation. A much used way is to include neighborhood dummy variables. In general, it is...

The prices of exchange-traded funds (ETFs) can deviate significantly from their net asset values (NAVs). Exploiting such inefficiencies is often too costly because it involves taking positions in hundreds of underlying illiquid securities. We develop a method that identifies a liquid mimicking...