We find that stocks exhibiting high dispersion in analysts’ earnings forecasts do not onlyunderperform in the U.S. but also in many European countries. Testing for the dispersioneffect in many countries calls for adequate multiple testing controls and we show that theU.S. dispersion effect...

In OTC bond markets many investors face high costs of trade, and these costs appear to berelated to the lack of price transparency. We study the consequences this has for efficient pricediscovery. Prices of municipal bonds react sluggishly to macroeconomic news. Yield spreads overtreasuries...

Some people are motivated by the non-selfish, non-strategic, and non-consequentialist “sacredvalue” of Truth. We conduct the first experiment directly assessing this phenomenon. We findthat people differ substantially in their truthfulness, with a large minority powerfully inclined...

We prove that for any incomplete market and any concave utilityfunction the marginal propensities to consume and to save are alwayspositive. Furthermore, we introduce a class of incomplete markets thatincludes almost all well known examples of market incompleteness infinance and macroeconomics....

We prove that, in a heterogeneous economy with scale invariantutilities, the yield of a long term bond is determined by the agent with maximalexpected marginal utility.We also prove that the same result holds for the longterm forward rates.Furthermore, we apply Cramer’s large deviations...

We establish universal bounds for asset prices in heterogeneouscomplete market economies with scale invariant preferences. Namely, for eachagent in the economy we consider an artificial homogeneous economy, popu-lated solely by this agent and calculate the ”homogeneous” price of an asset...

This paper examines numerically the impact of a negative exogenousshock to marginal productivity (such as ecological government regulationthat becomes eective at some point in time) in an endogenousnite time growth model with sluggish reallocation of human capital.The policy can be anticipated...

Although examples of deception and fraud in business have generated widespread interest in themotivations for honest behavior, little is known about individual differences in the propensity totell the truth. This paper highlights the role of honesty as a protected value, maintaining thatsome...

A large literature studies the predictability of stock returns by other lagged nancialvariables in a predictive regression setting. A common feature of widely used testingprocedures is a failing robustness, which may lead to misleading conclusions determinedby the particular features of a small...

We introduce a new class of flexible and tractable matrix a±ne jump-diffusions (AJD) to modelmultivariate sources of financial risk. We first provide a complete transform analysis of this model class,which opens a range of new potential applications to, e.g., multivariate option pricing with...