Cochrane’s variance ratio is a leading tool for detection of deviations from random walks in financial asset prices. This Paper develops a variance ratio related regression model that can be used for prediction. We suggest a comprehensive framework for our model, including model...

We analyze a unique dataset that includes the full demand schedules of 27 Israeli IPOs that were conducted as nondiscriminatory (uniform price) auctions. To the best of our knowledge, this is the first time the whole demand schedule for any asset is described. The demand schedules are relatively...

A representative-agent model with time-varying moments of consumption growth is used to analyze implications about means and volatilities of asset returns as well as the predictability of asset returns for various investment horizons. A comparative-statics analysis using non-expected-utility...

A Bayesian approach is used to investigate a sample's information about a portfolio's degree of inefficiency. With standard diffuse priors, posterior distributions for measures of portfolio inefficiency can concentrate well away from values consistent with efficiency, even when the portfolio is...

A Bayesian approach is used to investigate a sample’s information about a portfolio’s degree of inefficiency. With standard diffuse priors, posterior distributions for measures of portfolio inefficiency can concentrate well away from values consistent with efficiency, even when the portfolio...

In many stock exchanges around the world there is a "call" or "batch" transaction at the opening of the trading day. Currently, an essential problem in the application of this trading mechanism is that orders in one security cannot be conditioned on prices of other securities. As a result,...