We combine risk-neutral densities from equity index options with realized index returns to estimate the market's risk aversion. Starting from a power utility framework with constant risk aversion, we extend it by more flexible stochastic discount factors. We allow for time-varying risk aversion...

We use experiments to assess the impact of different savings mechanisms in pension system design. The savings mechanisms are chosen with an eye to common features of real-world pension systems. We introduce a novel utility function in our experiments incorporating habit formation and loss...

After the 2020 U.S. presidential election, counting votes and calling states took more time than usual, particularly in battleground states. In the days following the election, winning probabilities changed frequently as new results were tabulated. Based on the sensitivity of stocks to changes...

We extract implied price densities from wheat derivative prices during the first seven months of the Ukrainian war. Differences between short- and longterm densities indicate that market expectations about the duration of the conflict changed over time. Under simplifying assumptions, we...

he aim of this paper is to evaluate the performance of inflation forecasts backed out from the nominal and real yield curves in the United Kingdom. We use the Nelson-Siegel (NS) framework to model the break-even inflation term structure, and we also consider the one-day break-even inflation...

The effects of a Tobin tax on foreign exchange markets have long been disputed. We present an experiment with currency trading on two markets, where either none, one, or both markets are taxed. Our results confirm the hitherto undisputed issues: a tax reduces trading volume, shifts market share...

Corporate sports sponsorship is an important part of many companies? corporate communication strategy. We take the example of major football tournaments to show that sponsorship indeed affects the sponsor?s (stock) market value. We find a statistically significant impact of football results (at...

Many numerical optimization methods use scenario trees as a discrete approximation for the true (multi-dimensional) probability distributions of the problem's random variables. Realistic specifications in financial optimization models can lead to tree sizes that quickly become computationally...

A widespread belief is that index funds should earn the index return. We argue that this would lead to a serious paradox. In our model, we analyse the effects of an increasing number of investors switching from active to passive investment.