A calibrated Lucas (1978) style dynamic exchange economy to value the U.S. rental residential properties through the rent cash slows can match the cross-section of the average price-rent ratios from 1978 to 2007 with reasonable parameter values. However, from the view point of this calibration...

This paper provides a comprehensive analysis of stock return predictability in the Indian stock market by employing both the portfolio and cross-sectional regressions methods using the data from January 1994 and ending in December 2018. We find strong predictive power of size, cash-flow-to-price...

The Securities and Exchange Commission's 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting Authority),...

The Securities and Exchange Commission's 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting Authority),...

The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting...

A Special Purpose Acquisition Company (SPAC) is a public entity set up by a founder for the specific purpose of acquiring another firm, typically a private firm. The acquired firm is publicly traded after the acquisition, and the acquisition in effect represents a non-standard approach for the...

The interest rate swap market has grown rapidly. Since the inception of the swap market in 1981, the outstanding notional principal of interest rate swaps has reached a level of $12.81 trillion in 1995. Recent surveys indicate that interest rate swaps are the most commonly used interest rate...

The paper explores how the standard consumption-CAPM fares in pricing housing returns and regional rental income streams in a cross-section of regions. In particular, the paper estimates the Euler equations associated with the gross housing returns inclusive of house price appreciations and...

This article analyzes an economic experiment designed to measure the effect of “legal technology” on the economic efficiency of Coasian bargaining. In the experiment, the agreement of many agents (called “landowners”) to transfer their property rights to a single agent (called “the...