I examine the pricing of risk-neutral market volatility and skewness risks in the cross-section of stocks in China. I find that stocks with high exposures to innovations in volatility or skewness exhibit low expected returns. Market volatility and skewness are economically important and command...

I examine the pricing of risk-neutral market volatility and skewness risks in the cross-section of stocks in China. I find that stocks with high exposures to innovations in volatility or skewness exhibit low expected returns. Market volatility and skewness are economically important and command...

The literature on pro-social behavior shows that older children are more generous than younger children; however, the level of individual generosity is heterogeneous even between children of the same age. This paper investigates whether a child's popularity affects a child's generosity. Our...

We extract from the yield curve a new measure of fundamental economic uncertainty, based on McDiarmid's distance and related methods for optimal uncertainty quantification (OUQ). OUQ seeks analytical bounds on a system's behavior, even where the underlying data-generating process and system...

The gender composition of teams, and the way it impacts economic outcomes, has attracted increasing attention in the media and the economics literature. Nonetheless, past research has left open the question of how a group's gender composition impacts group performance. In this paper, we propose...

Previous research indicates that cheap-talk promises promote cooperation. We extend the empirical study of promises to a three person environment. Doing this enabled us to study two features of promises in the naturally occurring world that have not been studied in the previous literature. For...

We study the impact of liquidity in optimal portfolio choice under leveraging to improve risk-adjusted and absolute returns. We consider a quasi-elastic market with continuous trading where temporary liquidity costs are sufficiently large relative to permanent impact. We show analytically that...

In this paper, we consider an optimal portfolio de-leveraging problem, where the objective is to meet specified debt/equity requirements at the minimal execution cost. Permanent and temporary price impact is taken into account. With no restrictions on the relative magnitudes of permanent and...

Although economic and social relationships can involve deception (Gneezy 2005), such relationships are often governed by informal contracts that require trust (Berg et al.1995). While important advances have been made concerning deception in economics, the research has focused little on written...

In this paper, we first propose a portfolio management model where the objective is to balance equity and liability. The asset price dynamics includes both permanent and temporary price impact, where the permanent impact is a linear function of the cumulative trading amount and the temporary...