We examine the optimal saving decision of individuals who face a multiplicative risk. An individual is defined to be multiplicative risk prudent if multiplying a pure risk to her future wealth raises her optimal savings. We show that convex marginal utility is not sufficient to induce...

Commodity markets are often assumed efficient yet commodities are not the same as shares and the structure of commodity markets can differ considerably from the structure of share markets. As a result we choose to explore the efficiency of the crude oil market using Wall Street Journal (WSJ)...

The valuation of crude oil and gas reserves is a critical step in pricing crude oil and gas producing firms. This is of interest both to academics and practitioners who are called upon to value these firms. It is also of interest to regulators, particularly in their oversight of mergers and...

AbstractFama and French (2006) use the dividend discount model to develop the joint role of three variables – expected profitability, expected investment and current BM – in predicting future stock returns. One reported empirical result is anomalous. The valuation model establishes that the...

The impact of the OPEC cartel on crude oil prices is the subject of considerable discussion in the literature but there is little analysis of what crude oil producing nations actually do. Regime shift tests, using U. S. Energy Information Administration monthly crude oil production data from...

This paper investigates the relation between investor sentiment, executive compensation and corporate investment. We derive a model that shows the share price will be jointly affected by investor sentiment and the corporate investment decision. The model predicts that, if a compensation contract...

We use machine-learning to determine the information content of the Item 1A Risk Factors section of S&P 1500 10-Ks. We identify and quantify 30 risk-factors and show a strong positive relation between levels of and contemporaneous changes in risk-factors and proxies for the associated risks....

Based on standard option pricing arguments and assumptions (including no convenience yield and sustainable property rights), we will not observe operating gold mines. We find that asymmetric information on the reserves in the gold mine is a necessary and sufficient condition for the existence of...

Firms are more complicated than standard principal-agent theory allows: firms have assets-in-place; firms endure through time, allowing for the possibility of replacing a shirking manager; firms have many managers, constraining the amount of equity that can be awarded to any one manager; and, a...

Buying recent winners and shorting recent losers guarantees time varying factor exposures in accordance with the performance of common risk factors during the ranking period. Adjusted for this dynamic risk exposure, momentum profits are remarkably stable across subperiods of the entire post 1926...