We investigate market selection and bet pricing in a simple Arrow security economy which we show is equivalent to the repeated prediction market models studied in the literature. We derive the condition for long run survival of more than one agent (the crowd) and quantify the information content...

Analysis of monthly disaggregated data from 1978 to 2016 on US household in ation expectations reveals that exposure to news on in ation and monetary policy helps to explain in ation expectations. This remains true when controlling for household personal characteristics, their perceptions of the...

Using 719,830 analyst recommendations from 1994 to 2017, we construct various portfolios based on levels and changes in analyst recommendations and examine how the value of those recommendations in predicting the abnormal stock returns has changed over time. We find that the predictive value of...

The predictability of stock market is of great interest to both reseachers and investors. Despite voluminous evidence of in-sample predictability, the out-of-sample predictability of stock returns remains an ongoing debate. In this paper, motivated by both the financial theories and the well...