This paper develops a general continuous-time evolutionary finance model with time-dependent strategies. It is shown that the continuous model, which is a limit of a general discrete model, is well-defined and if there exists one completely diversified strategy in the market, then there is no...

According to assumptions of consumption capital asset pricing model (CCAPM) the consumption level should influence investors’ behaviour in the financial market but empirical tests show that variance of consumption cannot explain high variance of asset prices and asymmetry in investor...

We use 92,632,873 daily returns for 33,010 US firms to establish the best forecasting model for realized idiosyncratic variances. Comparing forecasts from 10 different models, we find that the most popular models, the martingale and GARCH type models, perform worst. Using the...

This paper analyzes the performance of stocks listed on the London Stock Exchanges to determine whether there is a size effect. The hypothesis being examined is whether the smaller stocks obtain higher returns than the large ones even after adjusting for risk. The study period is from 1990 to...

There are concerns that climate-related physical and political risks are not yet properly reflected in asset prices. To address these concerns, we develop a dynamic asset pricing framework with rare disasters related to climate change. The novelty of this paper lies in linking carbon emissions...

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

We show that the stock market pricing the presidential margin of victory in a nonlinear concave fashion, with a higher price for medium than slight or crushing victories. We conjecture that the margin of victory reflects president confidence and the ability to execute policies. A small margin...

We study how expectations of fund flows causally affect fund performance by exploiting a quasi-natural experiment in the Australian pension system where an unexpected policy change temporarily allowed fund withdrawals from a pre-specified date in the future. Using fractions of young members,...

We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index portfolio. This finding runs counter to the CAPM,...

I show in a setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced in the absence of excess short-selling costs. This is because the buyer values the asset at the...