The intertemporal capital asset pricing model is used to assess the risk–return relationship between forestry-related assets and innovations in state variables using quarterly returns from 1988Q1 to 2011Q4. Market excess returns and innovations in the small-minus-big and high-minus-low...

This study investigates whether stock price performance contains a sizeable component that emanates from local sports sentiment. We measure sports sentiment by the performance of sports teams from the four major professional sports leagues (NFL, MLB, NBA, and NHL) that are based nearby firms’...

We investigate the theoretically proposed link between judgmental overconfidence and trading activity. In addition to applying classical measures of miscalibration, we introduce a measure to capture misperception of signal reliability, which is the relevant bias in the theoretical overconfidence...

We report the results of an experiment designed to study the effect of individual asset-holdings restrictions on the formation of bubbles and crashes in laboratory asset markets. Bubbles and crashes are a quite robust phenomenon in experimental settings. Motivated by demand-control policies...

The influence of past stock price movements on correlations and volatilities is essential for understanding diversification and contagion in financial markets. We develop a model that makes the influence of past returns, aggregated into driving factors for correlations and volatilities,...

This paper revisits the fit of disaster risk models where a representative agent has recursive preferences and the probability of a macroeconomic disaster changes over time. We calibrate the model as in Wachter (2013) and perform two sets of tests to assess the empirical performance of the model...

This paper examines experimentally two common conjectures in the popular literature on financial markets: that they are swayed by emotion and that they behave like a 'crowd'. We find consistent evidence that deviations of prices from fundamental value depend on the emotion of excitement and on...

Informationally efficient prices are a necessary requirement for optimal resource allocation in the real estate market. Prices are informationally efficient if they reflect buildings’ benefit to marginal buyers, thereby taking account of all available information on future market development....

In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...

This paper assesses the quantitative impact of ambiguity on the historically observed financial asset returns and prices. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...