Housing markets typically exhibit a strong positive correlation between the rate of price increase and the number of houses sold. We document this correlation on high-quality Dutch data for the period 1985-2007, and estimate a VEC-model that allows us to study the mechanism giving rise to the...

This paper investigates the international spillovers of government debt and the associated risk of inflation within a monetary union when countries have different pension systems. I use a stochastic two-country two-period overlapping-generations model, where one country has PAYG pensions and the...

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed “the global consumption factor”, to explain the patterns in risk premiums on international equity markets. We identify this factor as...

We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...

This discussion paper resulted in a publication in the 'Journal of Banking and Finance' (2013). Vol. 37, issue 12, pages 5073-5087.<P> This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation strategies to evaluate the short-horizon predictive ability of...</p>

We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...

This discussion paper led to a chapter in: (K.R. Schenk-Hoppe & T. Hens (Eds.,)) <I>Handbook of Financial Markets: Dynamics and Evolution</I>, Amsterdam:North Holland/Elsevier, 2009.<P> Traditional finance is built on the rationality paradigm. This chapter discusses simple models from an alternative...</p></i>

This discussion paper resulted in an article in the 'European Economic Review' (2006). Volume 50, issue 8, pages 1937-1950.<P> The main contribution of this study is the finding that round numbers can act aspricebarriers for individual stocks. In addition, a first step is made to explain this and...</p>

The aim of this paper is to propose a new model of bubbles and crashes to elucidate a mechanism of bubbles and subsequent crashes. We consider an asset market in which the risky assets into two classes, the risky asset, and the risk-free asset are traded. Investors are divided into two groups of...