We analyze life insurance policy surrender activity to determine whether surrender is a function of certain macroeconomic variables and, therefore, highly correlated across policies. Results support the Emergency Fund Hypothesis and the Interest Rate Hypothesis. In addition, we provide evidence...

A hedonic pricing model estimates the effect on house prices of the stricter 2002 Florida Building Code for three geographical areas with varying degrees of risk exposure in the Jacksonville, Florida area. Results show that houses built under the new, stricter code sold for an average premium of...

In an increasingly competitive environment, the successful auto insurer is one that manages its cost in an efficient manner. While the auto insurance claims area does not generate revenue for the firm, it is one that provides the opportunity for cost reductions through its recovery efforts. We...

The underperformance of high idiosyncratic volatility stocks, as documented by Ang, Hodrick, Ying, and Zhang (2006, JF), is a pure non-January phenomenon. This non-January negative relation between idiosyncratic volatility and stock returns is more pronounced among firms with greater constraints...

In this paper we examine the extent of the bias between Black and Scholes (1973)/Black (1976) implied volatility and realized term volatility in the equity and energy markets. Explicitly modeling a market price of volatility risk, we extend previous work by demonstrating that Black-Scholes is an...