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Risk Premiums, Liquidities, and Bubbles under Heterogeneous Beliefs

We develop a model in which investors have heterogeneous beliefs about both the mean and the risk of future signals and the final stock payoff. As investors who perceive the lowest risk vary across…
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Disclosure, Learning, and Coordination

We analyze how public disclosure of informed investors' trades results in manipulation, which in turn affects coordination and competition in a duopolistic setting. We show that disclosure always…
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The Chinese Government Bond Returns

In this paper, we analyze the Chinese Government Bond (CGB) market. We find that CGB returns exhibit three common risk factors, which are well captured by three indices composed of short-, medium-,…
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Copulas between wealth and lifetime

The life insurance industry is very interested in how a person's lifetime is related to his wealth with financial advisors interested in how even a person's portfolio choice affects his lifetime.…
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Speculative Financial Innovation

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A Clustering Method of Non-stationary Time Series and its Application in CSI 300 Analysis

The proposed method can solve the correlation measurement problem of clustering non-stationary time series more reasonably and indicates that the implicit links between stocks, such as equity relationship, are implied in clusters.

Transaction Risk, Derivative Assets, and Equilibrium

We describe a rational expectations model in which there is not only asymmetric information about payoffs but also asymmetric information about the preference, proportion and precision of private…
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Speculative Financial Innovation

We analyze how speculative financial innovation affects stock prices, option prices, risk premium, market liquidity, and investor welfare in an economy with heterogeneous beliefs. When investors…
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Social Network, Herding and Competition

This work analyzes conditions under which fund managers herd to acquire information and trade on the same stock and shows that noisy communication of signals can be optimal and expands the set of parameters for herding to be optimal.

Negative Bubbles Under Short-Sales Constraints and Heterogeneous Beliefs

In a dynamic trading model, investors with heterogeneous beliefs have an option to sell the stock now and buy it back later. Due to this repurchase option and the risk aversion of investors, it is…
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