Market structure and pricing
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Order Submission: The Choice between Limit and Market Orders
Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type. -
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
The authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (2000). -
Determinants of Borrowing Limits on Credit Cards
The difference between actual borrowings and borrowing limits alone generates information asymmetry in the credit card market. -
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.