The purpose of this work is to evaluate the redistributive role of government social security transfers on inequality in China. We attempt to answer two questions. First, does inequality of after-transfer income narrow, compared to that of before-transfer income? Second, given the scale and...

We consider superhedging of contingent claims under ratio constraint. It has been widely recognized that the minimum cost of superhedging a contingent claim with certain constraints is equal to the price of a dominating claim without constraints. In terms of the backward stochastic differential...

Extant theories on the disposition effect are largely silent on most of the disposition-effect related trading patterns, including the V-shaped probabilities of buying and selling against unrealized profit. On the other hand, portfolio rebalancing and learning have been shown to be important,...

We examine optimal effort choice in a competition model where the agents are averse to low relative status and to exerting excessive effort. The game has a unique pure strategy Nash equilibrium. When the agents are homogeneous, a stronger competition incentive induces higher effort levels and...

Thought leadership in academic finance is more unequal than in other fields. Using data on the top 2% of scientists across all fields from Ioannidis et al. (2019, 2020), we show that the set of top scientists in finance is less diverse in terms of gender and geography than in economics and other...

The internal markets of fund families can encourage member funds to deviate excessively from their investment mandates. Theoretically, we show that fund managers following sufficiently different style benchmarks can engage in risk-shifting by trading with one another at low cost inside their...

This paper offers a new way of assessing government cash transfers using a social welfare function framework. It demonstrates how one can use social welfare functions to measure the efficiency of such program s without requir ing the specif ication of a poverty line or particular poverty...

We examine the problem of an investor who trades in a market with unobservable regime shifts. The investor learns from past prices and is subject to transaction costs. Our model generates significantly larger liquidity premia compared to a benchmark model with observable market shifts. The...