A sudden change in investment environment shifts objective uncertainty (characterized by parameters that determine the distribution of returns) and at the same time heightens subjective uncertainty (about the data generating parameters) unevenly across investors. For a given state of economy,...

The present study investigates whether Hong Kong's volatile real estate market is consistent with a non-linear consumption-based-asset-pricing model. It finds that the asset-pricing model is not rejected for some types of properties. However, the differentials between the returns to residential...

Identified vector autoregressive (VAR) models have become widely used on time series data in recent years, but finite sample inference for such models remains a challenge. In this study, we propose a conjugate prior for Bayesian analysis of normalized VAR models. Under the prior, the marginal...

Despite their declining presence in the private sector, defined benefit (DB) pension plans still cover most public-sector workers. A distinguishing feature of these plans is that they impose severe penalties on worker mobility. We use administrative panel data from the largest public-sector...