The role of price risk in sow farrowings is investigated by using bivariate ARCH-M and GARCH-M models and a nonparametric kernel estimator. To account for the relevant time horizon of irreversible supply decisions, predictions for mean price and conditional price variance are iterated forward. The empirical results vary markedly in terms of their implications for risk response in hog supply dec...

Asymmetric or partial information in financial markets may be represented by different filtrations. We consider the case of a larger filtration F – the natural filtration of the “model world” – and a subfiltration F̂ that represents the information available to an agent in the “real world”. Given a price system on the larger filtration that is represented by a martingale measure Q and an associa...

Abstract We empirically capture boardroom backscratching, or cronyism, as when a firm's Chief Executive Officer (CEO) and directors concurrently receive excessive remuneration. argue that backscratching can inhibit board's constructive criticism monitoring, resulting in greater likelihood of bad news hoarding. Using 14,104 US firm‐year observations spanning 1999–2020, we document significant po...

Abstract Do lenders securitize or price loans in response to credit risk? Exploiting exogenous variation regional risk due foreclosure law differences along U.S. state borders, we find that mortgages are eligible for sale the government-sponsored enterprises (GSEs) rather than risk. For non-GSE-eligible with no GSE buyback provision, increase interest rates as they unable shift loan purchasers....