This paper deals with the interrelations between stocks listed and traded in two international unsynchronized markets. The data exhibits first order nonstationarity and the series across markets are cointegrated. This gives a justification for an error correction model which incorporates a short...

Mean and variance of daily type-A and B stock returns in Shanghai and Shenzhen exchanges are studied before and after these stocks were subject to a -10% daily return limit, and when investors' clientele were segmented, vs. merged. We find that imposing the -10% return limit significantly...

In a given period, a diversified fund, by virtue of being a weighted average, will perform somewhere in the middle range of its components' respective performances. This means that adaptive investors who look to the past to adjust expectations about future returns will shun diversified funds....

Recent studies have questioned the existence and interpretation of a possible gap between Willingness-To-Pay (WTP) and Willingness-To-Accept (WTA). The study analyses the bidding patterns in buying and selling lottery tickets that represent financial assets using second price auction, and then...

In this study, we compare the subjective discount rate for Israeli Jews and Arabs. All the subjects were bank customers, who were asked to bid and ask prices for delayed fixed amounts and for lotteries. The two populations live in the same country under the same laws. Nevertheless, according to...

We present a multi-trial experiment that extends the classic experiment of Thaler et al. (1997) by adding short-term information to long-term investment. The allocation to the risky asset is reduced in the long-term, when we add short-term information.