We show that the standard equation-by-equation OLS used in performance evaluation ignores information in the alpha population and leads to severely biased estimates for the alpha population. We propose a new framework that treats fund alphas as random effects. Our framework allows us to make...

Recent research notes a disconnect between what marketers deem new and innovative versus what consumers actually perceive. Many factors may contribute to this; however, the factor that has significant potential to first attract a consumer to a new product, visual aesthetic design, is...

We show that the standard equation-by-equation OLS used in performance evaluation ignores information in the alpha population and leads to severely biased estimates for the alpha population. We propose a new framework that treats fund alphas as random effects. Our framework allows us to make...

We design an experiment to test the hypothesis that, in violation of Bayes Rule, some people respond more forcefully to the strength of information than to its weight. We provide incentives to motivate effort, use naturally occurring information, and control for risk attitude. We find that the...

Behavioural finance theories draw on evidence from psychology that suggest that some people respond to information in a biased manner, and construct theories of inefficient markets. However, these biases are not always robust when tested in economic conditions, which casts doubt on their...

Schätzungen für Parameter einer unbekannten Grundgesamtheit aus vorgegebenen Stichprobendaten mit Hilfe des von R. A. Fisher (1890-1962) eingeführten Maximum-Likelihood Prinzips (gleich Größ-tes Wahrscheinlichkeitsprinzip) sind integraler Bestandteil von Grundkursen in Schließender...

Our paper addresses the correction of the aggregation bias in linear rational expectations modelswhen there is some unobserved micro-parameter heterogeneity and only macro data are available.Starting from Lewbel (1994), we propose two new consistent estimators, which rely on aexible parametric...

Der Erwartungswert spielt in den Wirtschaftswissenschaften bei vielen Problemen, in denen stochastische Einflüsse berücksichtigt werden, eine zentrale Rolle. Dies kann unmittelbar der Fall sein, indem der Erwartungswert einer monetären Zielgröße optimiert wird, dies kann z. B. auch im...

Der Erwartungswert spielt in den Wirtschaftswissenschaften bei vielen Problemen, in denen stochastische Einflüsse berücksichtigt werden, eine zentrale Rolle. Dies kann unmittelbar der Fall sein, indem der Erwartungswert einer monetären Zielgröße optimiert wird, dies kann z. B. auch im...

This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...