We study the robustness of block resampling procedures for time series. We first derive a setof formulas to quantify their quantile breakdown point. For the block bootstrap and the sub-sampling, we find a very low quantile breakdown point. A similar robustness problem arisesin relation to...

A random variable dominates another random variable with respectto the covariance order if the covariance of any two monotone increasingfunctions of this variable is smaller. We characterize completely thecovariance order, give strong sufficient conditions for it, present a numberof examples in...

We study how the interaction of agents with different beliefs about a firm’s future cash flows determines the jointbehavior of credit spreads, option implied volatilities, and stock returns. Beliefs heterogeneity influences the pricing kernelin a way that supports more realistic credit spreads...

In a Lucas orchard with heterogeneous beliefs, we study the link between market-wide uncertainty, difference of opinionsand co-movement of stock returns. We show that this link plays an important role in explaining the dynamics of equilibriumvolatility and correlation risk premia. In our...

In the first three decades of CRSP data, value stocks have higher betas than growth stocks.Later on, the ranking is reversed and the gap in beta widens. What makes growth strategiesnowadays bear more market risk than value strategies? What are the causes of the reversalin the ranking of betas?...

The end of the lockup period of initial public offerings generally constitutes the first time corporateinsiders sell significant numbers of shares on the market. I test the hypothesis that shareholderspressure analysts to support the share price until the end of the lockup period.[...]

This paper develops a method to compute the equilibrium correspondence for exchangeeconomies with semi-algebraic preferences. Given a class of semi-algebraic exchange economiesparameterized by individual endowments and possibly other exogenous variables such as prefer-ence parameters or asset...

Multiplicity of equilibria is a prevalent problem in many economic models. Oftenequilibria are characterized as solutions to a system of polynomial equations. This pa-per gives an introduction to the application of GrÄobner basis methods for ¯nding allsolutions of a polynomial system. The...

This article examines the recent regulatory developments with regard to shortselling. Short selling regulation is an important factor in firm governancebecause it affects the way in which firms are subject to market discipline. Asthe financial crisis has attracted regulators’ notice to short...

In this paper we propose a smooth transition tree model for both the conditionalmean and variance of the short-term interest rate process. The estimation of suchmodels is addressed and the asymptotic properties of the quasi-maximum likelihoodestimator are derived. Model specification is also...