The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Using the wisdom of crowds -- combining many individual judgments to obtain an aggregate estimate -- can be an effective technique for improving judgment accuracy. In practice, however, accuracy is limited by the presence of correlated judgment errors, which often emerge because information is...

Recent survey evidence reveals misaligned inflation expectations among economic agents. While households associate higher expected inflation with lower output growth, professional forecasters often link higher future inflation to stronger economic fundamentals and higher output growth. Firms'...

This paper decomposes price into its 2 major constituents, namely markup (Mkp) and marginal cost (MC) with which a Markov-switching VAR with fixed transition probabilities is estimated. Since the proposed pair of variables has not been extensively analysed, a theoretical model that derives...

In this paper, we attempt to assess the potential importance of different types of traders (i.e., those with public and private information) in financial markets using a specification of the standardized duration. This approach allows us to test unobserved heterogeneity in a nonlinear version...

We consider the novel question of whether the trading performance of an individual insider changes over time. We find that buying performance declines steadily and markedly as an insider executes successively more purchase transactions; conversely, insider returns slightly improve over...