We study the problem of optimal timing to buy/sell derivatives by a risk-averse agent in incomplete markets. Adopting the exponential utility indifference valuation, we investigate this timing flexibility and the associated delayed purchase premium. This leads to a stochastic control and optimal...

We use retail Structured Equity Product (SEP) issuances to construct a new sentiment measure for individual stocks. The SEP sentiment measure predicts negative abnormal returns on the SEPs' reference stocks based on a variety of benchmarks including behavioral factor models and factors based on...

This paper examines the unique ability of The Model: a structural credit risk model proposed in Buellesbach (2015), to match the market in ways unmatched by other well-known structural models. The Model demonstrates the capacity to accurately value firms' equity and debt across the entire credit...

Contracts with embedded prepayment/extension options are subject to behavioral risk, due to the unpredictable exercise strategy followed by the option holder. Empirical data show that, in many situations and for different reasons, investors do not act purely on the strength of financial...

The rise of environmental awareness changes consumers’ behavior. European Commission stated that 75% of Europeans are “ready to buy environmentally friendly products even if they cost a little bit more” (Brécard, 2014). With the growth of consumer’s willingness to pay(WTP), the...

I show that the habit model of Campbell and Cochrane (1999) does not produce rising volatility during recessions when it is solved accurately. Instead, volatility is a hump-shaped function of the model's state and recessions are characterized by falling volatility. Risk premia are substantially...