estimates in auctions. We then look at whether items that fail at auction subsequently return less than items that have not … auction system works, what it indicates about price formation, and how well it performs. We begin with a short description of … the mechanics of the auction system and then organize the remainder of our discussion around two major topics. The first …

firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn … higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if … their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of …

when the markets offer high returns. ECINF is not only a priced risk factor, but the most significant factor in our asset … pricing tests, which suggests that ignoring the risk of information asymmetry may give rise to false discoveries of anomalies …. As a case in point, we show that momentum anomalies disappear once we control for the risk of information asymmetry. This …

According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …