One can consider the concept of market neutrality for hedge funds as having breadth and depth: breadth reflects the number of market risks to which a fund is neutral, while depth reflects the completeness of the neutrality of the fund to market risks. We focus on market neutrality depth, and...

Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...

Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The Þrst is skewness in the distribution of individual stock returns, while the second is an asymmetry in the dependence between stocks: stock...

This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically signi…cant amount on days of firm-specific news announcements, and reverts to its average level two to five days later. We employ intra-daily data and recent advances in...

Studies of the determinants of labor supply do no typically include characteristics of the marriage market. What inspired this paper is Shoshana Grossbard-Shechtman's economic theory of marriage which considers how marriage market forces influence individual value of time in marriage. From...

Studies of the determinants of labor supply do no typically include characteristics of the marriage market. What inspired this paper is Shoshana Grossbard-Shechtman's economic theory of marriage which considers how marriage market forces influence individual value of time in marriage. From...

Forecasting is an underestimated field of research in supply chain management. Recently advanced methods are coming into use. Initial results are encouraging, but often require changes in policies for collaboration and transparency. In this paper we explore advanced forecasting tools for...