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We document the di erential pricing of individual equity options versus the market index, and relate it to variations in return skewness. The impact of risk aversion induced by marginalutility tilting of the physical density can introduce skewness in the risk-neutral density. We derive laws that decompose individual return skewness into a systematic(More)
This article offers a tractable monetary asset pricing model. In monetary economies, the price level, inflation, asset prices, and the real and nominal interest rates have to be determined simultaneously and in relation to each other. This link allows us to relate in closed form each of the dependent entities to the underlying real and monetary variables.(More)
We propose a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the(More)
The capital-allocation role of financial markets rests on the informational efficiency of security prices. For the capital allocation determined by markets to be efficient, it is essential that security prices reflect all relevant information fully and accurately. Then, what types of security markets are the most conducive to price discovery and information(More)
This paper provides evidence on the significant impact of illiquidity or non-marketability on security valuation. A typical listed company in China has several types of share outstanding: (i) common shares that are only tradable on stock exchanges, (ii) restricted institutional shares (RIS) that are not tradable and can only be transferred privately or(More)
Do long-term and short-term options contain di!erential information? If so, can long-term options better di!erentiate among alternative models? To answer these questions, we "rst demonstrate analytically that di!erences among alternative models usually may not surface when applied to short-term options, but do so when applied to longterm contracts. Using(More)
Do demographic patterns affect stock returns across industries? While there is a substantial literature on the impact of demographic fluctuations on aggregate stock returns (Gurdip S. Bakshi and Zhiwu Chen 1994; James M. Poterba 2001; Andrew B. Abel 2003; John Geanakoplos, Michael J. P. Magill, and Martine Quinzii 2004; Andrew Ang and Angela Maddaloni(More)