Niclas Käfer, Mathis Mörke, Florian Weigert, and Tobias Wiest ♦ We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option…
Jie Chen, Chenxing Jing, Kevin Keasey, and Bin Xu ♦ We investigate how the government, as a customer, affects a supplier’s environmental policies. We find that government contractors have significantly lower levels of toxic pollution. Exploring the mechanisms, we show…
Jonathan Fu, Vasso Ioannidou, and Mrinal Mishra ♦ This paper examines how the entry of commercial lenders transforms microfinance markets, focusing on borrower outcomes and market-wide spillovers. Using detailed credit registry data, we show that increased competition improves loan terms…
Arka P. Bandyopadhyay, Dongshin Kim, and Patrick S. Smith ♦ This paper documents adverse selection in Ginnie Mae issuers’ early buyout decisions. Conditional on default, we find a one percentage point increase in interest rate spread increases the probability of…
David Hirshleifer, Chong Huang, and Siew Hong Teoh ♦ In a setting with a tradable value-weighted market index, ambiguity averse investors do not trade, and the index is not mean-variance efficient. But when a passive fund offers the risk-adjusted market…
Paola Pederzoli ♦ This paper investigates crash risk premiums in individual stocks using skewness swaps. These swaps involve buying a stock’s risk-neutral skewness and receiving the realized skewness as a payoff. The strategy’s returns, which measure the skewness risk premium,…
