This paper considers the problem of information acquisition in an intermediated market, where the specialists have access to superior technology for acquiring information. These informational advantages of specialists relative to households lead to disagreement between the two groups, changing...

This paper considers the problem of information acquisition in an intermediated market, where the specialists have access to superior technology for acquiring information. These informational advantages of specialists relative to households lead to disagreement between the two groups, changing...

Our goal in this paper is two-fold. First, we develop a class of term structure models that allow for the role of bounded rationality by incorporating either information-processing constraint or fear for mis-specification into affine term structure models. We indentify a set of sufficient...

This study examines the factors, both micro- and macro-economic, responsible for financial innovations in Emerging Markets. The possible benefits and threats of financial innovations in Emerging Market Economies are also analysed. Financial innovations lower cost of capital, reduce financial...

In last decades financial innovation and the rise of new classes of financial institutions, combined with a change in the trading behavior of traditional institutional investors, have been contributed largely to increased market liquidity. Financial innovation has been considered to lower cost...

The argument made in this manuscript is that the two traditional macroeconomic tools, fiscal policy and monetary policy, are insufficient to bring back efficiently into equilibrium an economy that has had a major crisis. Both traditional macro-tools only work through the demand side, and there...

Undoubtedly beta has emerged as the most popular measure of risk of security and portfolio returns. The historic betas are generally used as the estimates of future betas. Only when the betas are stationary, using past betas as estimates makes sense.Using the monthly returns of 660 companies...

Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure and can be successfully used to construct robust portfolios that perform well during equity market drops. We start with a classical 60 percent Bonds/ 40 percent Stocks portfolio with monthly rebalancing that...

We discuss performance of some known market anomalies like equal-weighted index, low volatility stock index, factor anomalies of Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz. We suggest the utilization of these anomalies through dynamic risk allocation in portfolios based on these...

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...