Why buy a closed-end fund at IPO, when it is likely to trade at a discount in a few months' time? One theory suggests that buying a new fund is justified by an initial period of investment outperformance. A second theory is that new funds are launched to provide access to assets that are...

The pricing-kernel, when estimated from index options, appears to show risk-loving behaviour for small gains and losses. Although this puzzle could be caused by option buyers using subjective probability-weighting, such weighting generates an unrealistically large (and time-varying)...