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Volatility-of-Volatility Risk
(2018-05-01)
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and ...
Liquidity Provider Incentives in Fragmented Securities Markets
(2018-07-31)
We study the introduction of single-market liquidity provider incentives in fragmented securities markets. Specifically, we analyze the introduction of the Xetra Liquidity Provider Program at Deutsche Boerse from two ...
Explaining Intra-Monthly Consumption Patterns: The Timing of Income or the Timing of Consumption Commitments?
(2018-11-01)
A number of recent studies have concluded that consumer spending patterns over the month are closely linked to the timing of income receipt. This correlation is interpreted as evidence of hyperbolic discounting. I re-examine ...
Smoking Hot Portfolios? Self-Control and Investor Decisions
(2019-09-01)
Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions which has hardly been measurable in empirical research. We use cigarette addiction identified from ...
Job Loss Expectations, Durable Consumption and Household Finances: Evidence from Linked Survey Data
(2019-03-01)
Job security is important for durable consumption and household savings. Using surveys, workers express a probability that they will lose their job in the next 12 months. In order to assess the empirical content of these ...
Higher-Order Income Risk over the Business Cycle: A Parametric Approach
(2020-03-24)
We extend the canonical income process with persistent and transitory risk to shock distributions with left-skewness and excess kurtosis, to which we refer as higher- order risk. We estimate our extended income process by ...
Risk Taking, Preferences, and Beliefs: Evidence from Wuhan
(2020-03-24)
We study risk taking in a panel of subjects in Wuhan, China - before, during the COVID-19 crisis, and after the country reopened. Subjects in our sample traveled for semester break in January, generating variation in ...
NVCA
The National Venture Capital Association (NVCA) empowers the next generation of American companies that will fuel the economy of tomorrow. As the voice of the U.S. venture capital and startup community, NVCA advocates for ...
DHS
The DNB Household Survey (DHS) offers a unique collection of data that allows the study of both psychological and economic aspects of financial behavior; a panel study among 2000 households that has been active since 1993. ...
ACS
The American Community Survey (ACS) helps local officials, community leaders, and businesses understand the changes taking place in their communities. It is the premier source for detailed population and housing information ...