We investigate whether Real Estate Investment Trust (REIT) managers actively manipulate performance measures in spite of the strict regulation under the REIT regime. We provide empirical evidence that is consistent with this hypothesis. Specifically, manipulation strategies may rely on the...

We examine the price of asymmetric dependence (AD) in the cross-section of US equities. Using a $\beta$-invariant AD metric, we demonstrate that the return premium for AD is approximately $47%$ of the premium for $\beta$. The premium for lower-tail AD equivalent to $26%$ of the market risk...

Cover -- Title Page -- Copyright -- Contents -- About the Editors -- Introduction -- Chapter 1: Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence -- 1.1 Introduction -- 1.2 From Skiadas Preferences to Asset Prices -- 1.3 Consistently Measuring Asymmetric Dependence --...