Most theories of risky choice postulate that a decision maker maximizes the expectation of a Bernoulli (or utility or similar) function. We tour 60 years of empirical search and conclude that no such functions have yet been found that are useful for out-of-sample prediction. Nor do we find...

Most theories of risky choice postulate that a decision maker maximizes the expectation of a Bernoulli (or utility or similar) function. We tour 60 years of empirical search and conclude that no such functions have yet been found that are useful for out-of-sample prediction. Nor do we find...

Most theories of risky choice postulate that a decision maker maximizes the expectation of a Bernoulli (or utility or similar) function. We tour 60 years of empirical search and conclude that no such functions have yet been found that are useful for out-of-sample prediction. Nor do we find...

Most theories of risky choice postulate that a decision maker maximizes the expectation of a Bernoulli (or utility or similar) function. We tour 60 years of empirical search and conclude that no such functions have yet been found that are useful for out-of-sample prediction. Nor do we find...

We demonstrate a simple procedure to test arbitrage models without adding an auxiliary error model. Our tests rely on the dynamics of the model to draw inference through out-of-sample forecasting. As an illustration, we estimate the Cox et al. model with a rolling sample to forecast zero-coupon...

Empirical studies of asset markets and a growing experimental literature suggest that in many cases competing dealers earn some monopoly rents: they do not arrive at a Bertrand equilibrium. In spite of this, little attention has been paid to the competitive forces that impinge on dealers'...

We find a strong systematic component in coupon spreads - the differences between notes' values and the values of replicating portfolios of fungible strips - that is strengthening over time. The first factor in coupon spreads is correlated with Hu, Pan, and Wang's (2011) measure of arbitrage...