Using the liquidity-adjusted CAPM (LCAPM) model, we estimate three time-varying illiquidity risks based on the DCC-GARCH(1,1) for 49,351 common stocks of which 20,678 trade in 60 emerging markets and the remaining 28,673 in 23 developed markets. The reported evidence from the cross-sectional...

The coincident rise in crude oil prices and increased number of financial participants in the crude oil futures market from 2000-2008 has led to allegations that “speculators” drive crude oil prices. As crude oil futures peaked at $147/bbl in July 2008, the role of speculators came under...

We analyzed cigarette smoking among people aged 15 - 24 in approximately 90,000 households in the 1992 - 1999 U.S. Current Population Surveys. We modeled social influence as an informational externality, in which each young person's smoking informs her peers about its coolness.' The resulting...