This paper proposes a system of simultaneous equations in a panel data setting to examine the relationship between corporate financial performance (FP) and corporate environmental performance (EP) for the group of firms comprising the S&P 500 in- dex. The study separates between brown (heavily...

This paper conducts a laboratory experiment to assess the optimal portfolio allocation under quantile preferences (QP) and compare the model's predictions with those of the expected utility theory using a mean-variance (MV) utility function. We estimate the risk aversion coefficients associated...

The elicitation of the elasticity of intertemporal substitution (EIS), discount factor, and risk attitude parameters is of central importance to economics, finances and public policy. This paper jointly elicits and estimates these parameters using experimental data. We employ a new model based...

In moments of distress downside risk measures like Lower Partial Moments (LPM) are more appropriate than the standard variance to characterize risk. The goal of this paper is to study how to compare portfolios in these situations. In order to do that we show the close connection between...

This paper introduces an estimator for the extremal index as the ratio of the number of elements of two point processes defined by threshold sequences un, vn and a partition of the sequence in different blocks of the same size. The first point process is defined by the sequence of the block...

We show in this paper that volatility measures can be misleading indicators of risk if returns do not follow a Gaussian distribution. A more reliable measure of risk is the probability distribution of the return on an asset. Estimators for these measures are usually challenging and need of...

None doubts that financial markets are related (interdependent). What is not so clear is whether there exists contagion among them or not, its intensity, and its causal direction. The aim of this paper is to define properly the term contagion (different from interdependence) and to present a...