These days it's become convention (reinforced by the media's treatment of wealth) to assess our net worth by tallying up the market value of our financial assets, even though it's more natural and useful to think of our wealth as a stream of dollars over time given the nature of our income and...

The study compared risk and returns characteristics of stock exchange traded shares and treasury bills in Ghana to find out which of the two instruments gives better rewards to investors. We made use of annualized returns of these instruments and applied statistical measures of average annual...

I propose a consumption-based asset pricing model in which the decision maker prices contingent cash flows realized at different future horizons and exposed to multiple shocks. The decision maker ignores the objective probability generating the data, and she evaluates a set of models that is...

I develop a model explaining the gradual price decrease observed ahead of anticipated asset sales, such as Treasury auctions. In the model, risk-averse investors expect an increase in the net supply of a risky asset, about which they have a noisy signal. They face a trade-off between hedging the...

We give explicit algorithms and source code for extracting factors underlying Treasury yields using (unsupervised) machine learning (ML) techniques, such as nonnegative matrix factorization (NMF) and (statistically deterministic) clustering. NMF is a popular ML algorithm (used in computer...

Many individuals rely on annuity purchases to provide a steady stream of income during their post-retirement years. Life insurance companies provide a variety of annuity contracts but often come with sizable fees that are extremely detrimental to the purchaser in a low interest rate environment....

We find that Treasury futures volume contains information about future economic and financial market conditions. Short-term and long-term volumes are economically different: A relatively higher volume in short-term (long-term) Treasury futures is counter-cyclical (pro-cyclical), preceding worse...

I develop and test a model explaining the gradual price decrease observed in the days leading up to anticipated asset sales such as Treasury auctions. In the model, risk-averse investors expect an uncertain increase in the net supply of a risky asset. They face a trade-off between hedging the...

In this study, the Consumption-oriented Capital Asset Pricing Model (CCAPM) is tested for Nigeria by considering returns on investments in the Nigerian Stock Exchange market and other financial assets for the period 1993: Q1 to 2016:Q4. Three tests are conducted. The first test examines forecast...

The objective of this paper is to assess whether external debt makes a difference for public debt stabilization, where external debt is considered through the non-residents' holdings according to a Balance of Payments perspective. The analysis is empirical and considers the case of Italy, one of...