Modeling credit contagion via the updating of fragile beliefs
We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with ‘fragile…
Read MoreIndividual investor activity and performance
We examine the daily activity and performance of a large panel of individual investors in Sweden’s Premium Pension System in…
Read MoreAmbiguity attitudes in a large representative sample
We develop a theorem showing that ambiguity attitudes can easily becaptured by matching probabilities of ambiguous events. Using this result,…
Read MoreThe effect of background mood and pre-existing risk on risk and time preference
Analysis of risk and time preferences is an important topic, risk aversion and time discounting affect important decisions, such as…
Read MoreSickness absence patterns: A research about the absence behaviour of employees around holidays and events
Intragenerational risk sharing and redistribution under unfunded pension systems: An experimental study
In the presence of idiosyncratic income risk and rate of return risk, does an unfunded pension play a role in…
Read MoreHigh and steady or low and rising? Life-cycle earnings patterns in vocational and general education
In this paper, we compare experience-earnings profiles of employees with vocational and general education background in Germany, the Netherlands and…
Read MoreFinancial openness and productivity
Financial openness is often associated with higher rates of economic growth. We show that the impact of openness on factor…
Read MoreWhat segments equity markets?
We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of segmentation in many…
Read MoreHedge fund leverage
We investigate the leverage of hedge funds in the time series and cross-section. Hedge fund leverage is counter-cyclical to the…
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