Deemed as the “world's most important chokepoint” for oil and international shipping, the Strait of Hormuz is the main thoroughfare to and from the Arabian Gulf. In 2011, 17 million barrels of crude oil passed through the Strait each day, representing 20% of global oil trade. A disruption in...

Deemed as the “world’s most important chokepoint” for oil and international shipping, the Strait of Hormuz is the main thoroughfare to and from the Arabian/Persian Gulf. A disruption in shipping through the Strait of Hormuz would have severe consequences for the world economy. Without...

Crises events such as the COVID-19 pandemic can have a profound impact on consumers' financial, physical, and mental health. This study explores the role of two resilience frameworks, namely the financial resilience framework and the resilient personality, in coping with physical and mental...

This paper compares stimulus response (SR) and belief-based learning (BBL) using data from experiments with sender-receiver games. The environment, extensive form games played in a population setting, is novel in the empirical literature on learning in games. Both the SR and BBL models fit the...

This paper considers tests of the transformation parameter of the Box-Cox model when the distribution of the error is unknown. Monte Carlo experiments are carried out to investigate the rejection probabilities of the GMM-based Wald and Lagrange Multiplier (LM) tests when the null hypothesis is...

Recent years have seen increased demand from institutional investors for passive replication products that track the performance of hedge fund strategies using liquid investable assets such as futures contracts. In practice, linear replication methods suffer from poor tracking performance and...

The evaluation of hedge fund performance is challenging given the flexible nature of hedge funds' strategies and their lack of operational transparency. As a result inference about skill is inevitably contaminated by the error in the benchmark model. To address this concern, we propose a model...

This paper re-examines the tests of the Sharpe-Lintner Capital Asset Pricing Model (CAPM). The null that the CAPM intercepts are zero is tested for ten size-based stock portfolios and for twenty five book-to-market sorted portfolios using five-year, ten-year and longer sub-periods during...

Model selection, i.e., the choice of an asset pricing model to the exclusion of competing models, is an inherently misguided strategy when the true model is unavailable to the researcher. This paper illustrates the advantages of a model pooling approach in characterizing the cross section of...