In this paper, we study mutual fund performance in terms of timing ability with daily data from 1998 to 2009. A novel timing model is proposed by incorporating the regime-switching framework into the Treynor and Mazuy (1966) model. The volatility follows a generalized autoregressive conditional...

How investor expectations move markets and the economyThe collapse of Lehman Brothers in September 2008 caught markets and regulators by surprise. Although the government rushed to rescue other financial institutions from a similar fate after Lehman, it could not prevent the deepest recession in...

Frontmatter -- CONTENTS -- ACKNOWLEDGMENTS -- Introduction -- CHAPTER 1 The Financial Crisis of 2008 -- CHAPTER 2 What Were They Thinking? -- CHAPTER 3 A Neglected Risk Model of the Financial Crisis -- CHAPTER 4 Extrapolation in Financial Markets -- CHAPTER 5 Representativeness and Diagnostic...