This paper analyzes whether the market portfolio is efficiently related to benchmark portfolios formed on size, value, momentum and reversal with various utility theories by using stochastic dominance criteria. The results support the prospect theory including assumption of loss aversion at...

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction costs, leverage constraints, non-competitive behavior and search. Our model has three periods: agents are identical in the first, become...

Originators produce higher quality assets at a private cost. These assets can either be bought by informed intermediaries or sold in a pool with low quality assets. Savings gluts diminish origination incentives because they compress the spread between the price paid for high quality assets and...

We separate downloads on the SEC EDGAR database into human and machine actions by the intensity of information retrieval (Ryans, 2017). The split shows that the extent of machine downloads has risen 35 times since 2004, accounting for over 96% of total downloads as of 2016. We formally...

The paper seeks to lay out a stock-flow-based theoretical framework that provides a foundation for a general theory of pricing. Contemporary marginalist economics is usually based on the assumption that prices are set in line with the value placed on goods by consumers. It does not take into...

Stock prices reflect firm performance and aggregate investor information about investment opportunities. We show that these dual roles are in tension: when prices are more informative about future investment, they are less effective at incentivizing managerial effort. Overall firm value need not...

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high state for a considerable period of time after the...

The purpose of this study is to explore a model in which asset prices are endogenously determined by information acquisition when investors have different prediction abilities. The authors discuss how equilibrium price and investor's demand for information are affected by investors' risk...

This paper proposes a relatively simple pricing model of stock market. The model consists of two finite formulas: the law distribution and relation of the uncertainty and adopts the classic Gaussian law of Nature to the case of Nature & Human. The model explains the oscillating nature of price...

In this paper we investigate the price discovery process in single-name credit spreads obtained from bond, credit default swap (CDS), equity and equity option prices. We analyse short term price discovery by modelling daily changes in credit spreads in the four markets with a vector...