Post-mortems of the financial crisis typically mention "black swans" as the rare events that were the Achilles heel of financial models, manifesting themselves as "25 standard deviation events occurring several days in a row". Here, we briefly discuss the implications of "black swan" events in...

We examine whether a large shareholder can alleviate conflicts of interest between managers and shareholders through the credible threat of exit on the basis of private information. In our model the threat of exit often reduces agency costs, but additional private information need not enhance...

We analyze a model where an altruistic sender, who may or may not be informed, broadcasts one of a finite set of messages to rational receivers. If broadcasting is costless and the sender is rational, there is an informationally efficient equilibrium, but this equilibrium is not necessarily...

This paper is written as a tribute to Professors Robert Merton and Myron Scholes, winners of the 1997 Nobel Prize in economics, as well as to their collaborator, the late Professor Fischer Black. We first provide a brief and very selective review of their seminal work in contingent claims...

A rich literature indicates that individuals of lower socio-economic status engage in less leisure time physical activity than individuals of higher socio-economic status. However, the source of the difference is believed to be, in part, due to differential access to resources that support...

Heteroskedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume—i.e. unexpected above-average trading activity—which is derived from uncorrelated volume innovations. Assuming weakly exogenous volume, we extend the Lamoureux and...

Estimation of the tail index of stationary, fat-tailed return distributions is non-trivial since the well-known Hill estimator is optimal only under iid draws from an exact Pareto model. We provide a small sample simulation study of recently suggested adaptive estimators under ARCH-type...