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This paper studies equilibrium asset pricing with liquidity risk — the risk arising from unpredictable changes in liquidity over time. It is shown that a security's required return depends on its expected illiquidity and on the covariances of its own return and illiquidity with market return and market illiquidity. This gives rise to a liquidity-adjusted(More)
We investigate whether individual experiences of macroeconomic shocks affect financial risk taking, as often suggested for the generation that experienced the Great Depression. Using data from the Survey of Consumer Finances from 1960-2007, we find that individuals who have experienced low stock-market returns throughout their lives so far report lower(More)
This paper documents that hedge funds did not exert a correcting force on stock prices during the technology bubble. Instead, they were heavily invested in technology stocks. This does not seem to be the result of unawareness of the bubble: Hedge funds captured the upturn, but, by reducing their positions in stocks that were about to decline, avoided much(More)
A collaborative theory of narrative story-telling was tested in two experiments that examined what listeners do and their effect on the narrator. In 63 unacquainted dyads (81 women and 45 men), a narrator told his or her own close-call story. The listeners made 2 different kinds of listener responses: Generic responses included nodding and vocalizations(More)
Higher global bandwidth requirement for many applications and lower network cost have motivated the use of the Dragonfly network topology for high performance computing systems. In this paper we present the architecture of the Cray Cascade system, a distributed memory system based on the Dragonfly [1] network topology. We describe the structure of the(More)
BACKGROUND Postoperative cognitive dysfunction (POCD) after noncardiac surgery is strongly associated with increasing age in elderly patients; middle-aged patients (aged 40-60 yr) may be expected to have a lower incidence, although subjective complaints are frequent. METHODS The authors compared the changes in neuropsychological test results at 1 week and(More)
This paper investigates the stock market reaction to sudden changes in investor mood. Motivated by psychological evidence of a strong link between soccer outcomes and mood, we use international soccer results as our primary mood variable. We find a significant market decline after soccer losses. For example, a loss in the World Cup elimination stage leads(More)
  • Stefan Nagel, Elroy Dimson, +14 authors Tuomo Vuolteenaho
  • 2004
Short-sale constraints are most likely to bind among stocks with low institutional ownership. Because of institutional constraints, most professional investors simply never sell short and hence cannot trade against overpricing of stocks they do not own. Furthermore, stock loan supply tends to be sparse and short selling more expensive when institutional(More)
Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk. In this paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to capture these stylized facts, we develop a model of international(More)
Administration of active TG2 to two different in vitro angiogenesis assays resulted in the accumulation of a complex extracellular matrix (ECM) leading to the suppression of endothelial tube formation without causing cell death. Matrix accumulation was accompanied by a decreased rate of ECM turnover, with increased resistance to matrix metalloproteinase-1.(More)