We propose a bridging model that connects risk-based factor models to sentiment models by using characteristics. Investors use stock characteristics as information to form their biased view and hence creating mispricing. Characteristics also serve as the proxy for the covariance risk to a latent...

Management errors in decision making have many sources, but errors rooted in conceptual confusions are persistent. An example is costs; difficulties arise when an organisation allocates fixed costs to product lines before assessing their profitability. Large, non-profit maximising organisations,...

The paper documents skill heterogeneity in hours and expenditures on market work, home production, and leisure between 2003 to 2018 by using the American Time Use Survey (ATUS) and the Consumer Expenditures Survey (CEX). The purpose is to infer the labor wedge by adding three margins...

We develop a framework for the analysis of the economic effects of an epidemic that incorporates firm-specific innovation and endogenous entry. Transition dynamics is characterized by two differential equations describing the evolution of the mass of susceptible in the population and the ratio...

We study the non-linear propagation mechanism of tax policy in the context of a heterogeneous-agent equilibrium business cycle model with search frictions in the labor market and an extensive margin of employment adjustment. The model exhibits endogenous job destruction and endogenous hiring...

Investors are always in search of diversifying securities and strategies to assist in downside risk management. We consider six popular diversifying securities, i.e. Gold, Swiss Franc, Japanese Yen, Bond Futures, S&P 500 80% strike Put Options, and Trend Following strategies in this paper. Using...

We study the role of reporting rules in the context of bank runs. In our model, a financial institution receives an early but imprecise estimate of the performance of its investment and issues a report subject to a reporting rule. We find that, from a financial-stability standpoint, the optimal...

Through repeated interactions, firms today refine their understanding of individual users' preferences adaptively for personalization. In this paper, we use a continuous-time multi-agent bandit model to analyze firms that supply content to consumers, a representative setting for strategic...

A mark-to-market approach for convertible bonds is proposed where the volatility from the bond optionality is implied from the traded credit spread and bond price. By linking the convertible bond implied volatility to the listed equity option implied volatility surface, the set of available...