The COVID-19 pandemic constitutes one of the most significant exogenous shocks to global financial markets in recent history, raising questions about the robustness of market efficiency under extreme uncertainty. This study examines whether the pandemic affected the weak-form efficiency of the...

We argue that capital misallocation arises endogenously due to incomplete consumption insurance. We model risk-averse entrepreneurs with heterogeneous productivity who face idiosyncratic output shocks and choose how much capital to rent before uncertainty unfolds. We show that incomplete markets...

Due to the smoothing problem with appraisal-based indices, there is uncertainty about the true volatility of value change returns on real estate markets. The selection of unsmoothing procedures proposed in the literature obviously cannot remedy this. The article argues that it is hardly possible...