This paper develops a formal economic theory to explain the Easterlin paradox-average happiness levels do not necessarily increase as countries grow wealthier. The theory analyzes the different roles of income and non-income factors in promoting people's happiness, and provides a foundation for...

We analyze a model where the value of a traded security is affected by two different fundamentals, e.g., the quality of the firm's technology and the demand for its products, and where there are two groups of informed traders, each one informed about a different fundamental. We analyze the...

We study the real-efficiency implications of public information in a model where relevant decision makers learn from the financial market to guide their actions. Whether disclosure is "good" or "bad" depends on the interactions between two effects on real decision makers' forecast. Disclosure...

We study a model to explore the (dis)connect between market efficiency and real efficiency when real decision makers learn information from the market to guide their actions. We emphasize two channels that determine whether the two efficiency concepts are aligned. The "externality channel" says...

Some recent studies of conditional factor models do not specify conditioning information but use data from small windows to estimate the time series of conditional alphas and betas. In this paper, we propose a nonparametric method using an optimal window to estimate time-varying coefficients. In...

If traders can obtain private information about the payoff and the supply of a stock then there can exist (i) complementarity in information acquisition and (ii) multiple equilibria in the financial and information markets. The additional dimension of supply information increases coordination...

We build a general equilibrium model to examine the implications of prospect theory for the disposition effect, asset prices, and trading volume. Diminishing sensitivity predicts a disposition effect, price momentum, a reduced return volatility, and a positive return-volume correlation. Loss...

<section xml:id="fut21649-sec-0001"> This study extends the maximal affine models of single assets to a multi‐commodity setup. We show that the correlated version of maximal affine models for a single commodity is no longer maximal for multiple commodities. In the maximal model, the convenience yield of a certain commodity could...</section>

In this paper, we outline China's imported inflation via global commodity prices. We show that the prices of China's imported commodities are strongly related to global commodity prices. Meanwhile, the final goods prices from upstream industries are strongly influenced by global commodity...