Current asset pricing models require mean-variance efficient benchmarks, which are generally unavailable because of partial securitization and free float restrictions. We provide a pricing model that uses inefficient benchmarks, a two-beta model, one induced by the benchmark and one adjusting...

We apply the powerful, flexible, and computationally efficient nonparametric Classification and Regression Trees (CART) algorithm to analyze real estate mortgage data. CART is particularly appropriate for our data set because of its strengths in dealing with large data sets, high dimensionality,...

We identify conditions for separating signaling equilibria where costs and attributes are randomly related and where both take a continuum of values. A necessary and sufficient condition is the ordering by the cost elasticities of the cost density functions with respect to the original...

We identify conditions for separating signaling equilibria where discrete attributes are randomly related to a continuum of costs. A necessary condition is the ordering of the cost distributions conditional on attributes by first order stochastic dominance. A necessary and sufficient condition...