This paper develops a model of weight assignments using a pseudo-Bayesian approach that reflects investors' behavioral biases. In this parsimonious model of investor sentiment, weights induced by investors' conservative and representative heuristics are assigned to observations of the earning...

The purpose of a margin requirement is to protect a clearinghouse from members' defaults resulting from big losses due to adverse movement of futures prices. To decide on how much a margin is required, a clearinghouse may refer to a benchmark margin defined as a constant multiple of the...