We develop two new methods for calibrating subjective expectations regarding the return generating process (RGP) of financial assets without resorting to noisy realized returns. Using finance professionals’ expectations of average and extreme returns, volatilities, and probabilities of stocks beating bonds, we investigate what these expectations imply of other key aspects of the RGP, namely sto...

The risk associated with financial returns is commonly measured through an estimator of the variance. Variance estimators based on high frequency returns are susceptible to the influence of jumps, and these should be accounted for. This article proposes to measure the uncertainty and other characteristics of return series through a quantile-based approach, which automatically is robust to outli...

We analyze the performance of retail firms for the period 1978-97 using public financial data. Our performance measures are long-term stock returns and whether the firm filed for bankruptcy in the period of study. We assume that over a long time period of at least five years, stock returns are a reasonable measure of the overall success of a firm. We have found a very wide disparity in performa...

5 Self-insurance vs. self-financing: A welfare analysis of the persistence of shocks Pages 845-862 Francisco J. Buera, Yongseok Shin 6 Financial integration, entrepreneurial risk and global dynamics Pages 863-896 George-Marios Angeletos, Vasia Panousi 7 Human capital values and returns: Bounds implied by earnings and asset returns data Pages 897-919

participants at the workshops at Tulane University and the annual Financial Management Association meetings, two anonymous referees and many of our colleagues for helpful comments at various stages of this research. We also thank Lipper Analytical Services, Inc. for providing data on monthly total net assets and returns, and thank Mark Carhart for data on factor returns to estimate four-factor ...

Human behavior in banking and financial systems is in part made up of a complex mix of political, social and cultural factors. These factors are reflected in expert opinion based political risk scores. Market inefficiency is largely a result of anomalies in human behavior causing information asymmetries. A basic systemic market model is re-specified into a model for international banking system...

Radio frequency identification (RFID) is believed to change how supply chains operate today. While RFID’s promise for improved inventory visibility and automation in inventory management is making many supply chain players hopeful for increased sales and reduced operating costs, these benefits do come at a cost and involve risks. This article presents a financial returns analysis that captures ...

Since the early nineties, the Dutch tax system allows for a tax-favored form of risk free savings through employer-sponsored savings plans (ESSPs). Under some conditions and up to a certain amount, the contributions to this plan are tax-deductible, and the returns as well as the withdrawals are tax-free. This makes these plans extremely attractive, with real after-tax returns by far exceeding t...