This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...

In this paper we exploit global analysis to explore welfare properties of a standard one-commodity GEI, under different notions of constrained Pareto optimality. In a unifying framework we revise and extend some of the leading results of the literature on incomplete markets and government...

We propose an objective for the firm in a model of production economies extending over time under uncertainty and with incomplete markets. We derive the objective of the firm from the assumption of initial-shareholders efficiency. Each shareholder is assumed to communicate to the firm her...

In an economy with a non-atomic measure space of assets and exchangeable risks, the Arbitrage pricing Theory (APT) holds exactly; and factors are structurally specified, which allows for an economic interpretation.

Equilibrium paths in an economy of overlapping generations are determinate. Time is either discrete or continuous; in either case, it extend into the infinite future and, possibly, the infinite past. There is one, nonstorable commodity at each date. The economy is stationary; intertemporal...

We propose a simple network–based methodology for ranking systemically important financial institutions. We view the risks of firms –including both the financial sector and the real economy– as a network with nodes representing the volatility shocks. The metric for the connections of the...

Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...

This paper investigates the importance of speed for technical trading rule performance for three highly liquid ETFs listed on NASDAQ over the period January 6, 2009 up to September 30, 2009. In addition we examine the characteristics of market activity over the day and within subperiods...

This discussion paper resulted in an article in the <I>Journal of Financial Econometrics</I> (2012). Vol. 10, pages 354-389.<p> This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and...</p></i>

We find that investor sentiment should affect a firm's employment policy in a world with moral hazard and noise traders. Consistent with the model's predictions, we show that higher sentiment among US investors leads to: (1) higher employment growth worldwide; (2) lower labor productivity, as the...