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...

The paper studies a dynamic communication game in the presence of adverse selection and career concerns. A forecaster of privately known competence, who cares about his reputation, chooses the timing of the forecast regarding the outcome of some future event. We find that in all equilibria in a...

In this article, we provide an alternative evidence of asymmetric information in automobile insurance based on a copula model. We use the Frank’s copula to jointly model the type of policy coverage chosen and the number of accidents, with the dependence parameter providing for evidence of the...

Citizens may engage in crime, depending on the probability of being searched and their types such as legal earning opportunities. Police observes information about citizens' types and allocates search efforts to catch citizens who commit crimes. I show that the police who has full information...

Through extending a standard Grossman and Stiglitz (1980) noisy rational expectations economy by a heterogeneous signal structure with signal-specific differences in uncertainty, we show that price momentum as well as reversal are not intrinsically at odds with rational behavior. Differences in...

We examine how analysts' anticipation of a management forecast affects their search for private information. Analysts are likely to acquire more private information because of the potential gains from trading on that information before a publicly disclosed management forecast. However, this...