This paper analyzes sorting pattern of risk-sharing partnerships where agents are heterogenous in their income riskiness. When preference belongs to the class of HARA, household production in terms of monetary equivalence is perfectly transferable between spouses. Hence the characterization of...

This paper studies the comparative statics regarding changes in risk on Nash's solution to bargaining games with stochastic outcome and disagreement points. When absolute risk tolerance is linear with constant slope, the Nash's solution to bargaining with risky outcomes and risky disagreement...

Medical crowdfunding has seen rapid growth in recent years and it has become a popular channel for people needing financial help. However, there exists large heterogeneity in donations across cases and fundraisers face significant uncertainty in whether their crowdfunding campaigns can meet...

Medical crowdfunding is a popular channel for people needing financial help paying medical bills to collect donations from large numbers of people. However, large heterogeneity exists in donations across cases, and fundraisers face significant uncertainty in whether their crowdfunding campaigns...

This paper shows that hedging by index option writers generates significant price pressure on the market as a whole, resulting in market return reversals. Furthermore, this aggregate hedging pressure affects some stocks more than others, causing cross-sectional dispersion of pricing errors and...

This article examines downside risk premiums using S&P 500 index (SPX) options. Portfolios are constructed using the index options to replicate the downside risk factors and their average excess returns provide estimates of downside risk premiums. We show that all the market risk premium comes...

This paper shows that option trading does not reduce overpricing in the underlying stock market. A popular view in the literature is that options lower short selling cost, therefore, they allow stock prices to better incorporate negative information and opinions. Testing such a hypothesis is...

Motivated by several industry examples, we study the interaction between a technology provider introducing a new technology and downstream manufacturers adopting the new technology into their products. The manufacturers, once committed to their adoption timing, first cooperate in making...

We show that the average difference between the implied volatilities of call and put options on individual equities, which we term the implied volatility spread (IVS), has strong predictive power for stock market returns at horizons between one and six months, with monthly in-sample and...

We investigate the supply strategy of a firm that faces uncertain seasonal demand. While additional demand information becomes available in the form of signals throughout a finite planning horizon, it also becomes more expensive to acquire the product. In this setting, we explore the tradeoff...