Underlying idiosyncratic and illiquidity risks are suppressed in infrequently reported indexes of house prices and rents. Idiosyncratic risks result from bid-ask spreads for prices and rents. Time series autocovariances generate a distribution of prices and rents. Capital gains and rent-price...

Intuitively, option-like compensation contracts induce risk-shifting behavior, confirmed by numerous empirical studies. However, theoretical work has shown that risk shifting should not happen without a definite expiration date of the option. With a sample of Commodity Trading Advisors (CTAs),...

Real estate developers face significant risks in managing new developments, and presale contracts are commonly used to shift these risks to buyers. We develop a theoretical model to show that presale prices are an increasing function of time and that earlier presales are associated with greater...

This study examines structural shifts in the market for bank control resulting from the court decision of Northeast Bancorp, Inc., et al. v. Board of Governors (1985), and analyze its impact on stock prices and risk incentives in affected banks. The outcome of the case reaffirmed the...

We present a novel methodology to calculate the jump-induced tail risk premium for individual stocks and examine its effect on the following-month’s returns. The existence of a premium for bearing negative jump-induced tail risk is significantly associated with negative one-month future...