We develop a continuum of stochastic dominance rules for expected utility maximizers. The new encompass the traditional integer-degree dominance; between adjacent integer degrees, they formulate consensus individuals whose absolute risk aversion at corresponding degree has negative lower bound. By extending concept “uniform aversion” previously proposed in literature to high-order preferences, we interpret fractionalized parameter as benchmark individual relative whom all considered are...

Abstract This article studies consumers’ self‐control problems in precautionary activities, their contract choices, and the welfare implications a competitive insurance market. Present bias consumer naivete both induce consumers to procrastinate or eventually give up efforts. In consequence, disrupt monotonicity of indifference curve on leading pooling equilibrium an absence risk–coverage correlation, addition classic result adverse selection. Compulsory raises all only selection, but not...

The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September 2010. Carry trade stock are highly correlated with no Granger‐causality in either direction. An EGARCH model shows that significant volatility spillovers flow market to carry‐trade market, but not vice versa. markets more periods high volatility. Volatilities both also increase negative innovations than positive innovations. A sectoral analysis index...

Along with the economy transition and industry upgrading in China, outward foreign direct investment (OFDI) activities by Chinese enterprises have been steadily increasing during recent years. This study investigates current status underlying motivations for firms to enter markets. We discuss relevant economic policies that drive trend of OFDI from China. The efforts government promote innovations cross-border collaboration paved way more opportunities future.

We introduce the fatigue disutility model. Set in continuous time, model formalizes notion that accumulates with effort, decays rest, and produces an increase marginal instant disutility. The is meant to be prescriptive, although it rationalizes several anomalies observed time preference. Under very general conditions, most efficient temporal profile of effort exhibits a high-low-high pattern. consider variant whereby productivity decreases fatigue, we examine optimal management under...

Sniping, also known as last-minute bidding, is the strategic behavior of bidding late possible in auctions. Sniping commonly viewed a problem, and one popular solution soft-close ending rule. Does indeed eliminate sniping? Most previous theoretical well empirical studies say Yes. Recent field evidences from different platforms, however, are mixed. This paper tries to explain these mixed by examining effectiveness when proxy unavailable attention poses true challenge. We show that, for both...

Models in which current utility depends solely on consumption (a.k.a. time-separable preferences) are widely acknowledged to be unrealistic, especially when attempting describe preferences over rates. Alternatively, one may stipulate that instant also a state, for example, some stock of past consumption. Escaping the gravitational pull time separability, however, is difficult because (1) behavioral axioms characterize state and not known, (2) how elicit preference parameters—most notably...

Some studies on developed economies have revealed that the impacts of oil price shocks decreased while conclusions about China remain occluded. We investigate changing effects China’s macroeconomy and discuss causes. A time-varying parameter vector autoregressive (VAR) model reveals economy shown a downward trend since 1997. The responses real output are much greater last longer than those inflation. Then new Keynesian dynamic stochastic general equilibrium is to synthetically explore...

In the past couple of years, China's futures exchanges have launched nighttime trading sessions. We use daily data from 23 commodity to investigate impact this important policy change. Our findings suggest that launching effectively improved efficiency prices and reduced volatility prices. The normality returns improves during post-nighttime period. As documented in literature, interactions between activities (i.e., volume open interest) conform better observed patterns developed markets....

Levy [Levy H (2016) Aging population, retirement, and risk taking. Management Sci. 62(5):1415–1430.] proposes asymptotic first-degree stochastic dominance (AFSD) as a distribution-ranking criterion for all nonsatiable decision makers with infinite investment horizons. By assuming that the terminal wealth follows log-normal distribution marginal utility is bounded, he offers necessary sufficient distributional condition AFSD. Given Levy’s setting, we provide counterexample to show his not...

The futures market in China started the early 1990s as economic reform deepened. After two decades of development, there are now four exchanges: Shanghai Futures Exchange, Dalian Commodity Zhengzhou and Financial Exchange. Product innovations regulatory changes largely contribute to rapid expansion market. Several contracts among most active world With development its efforts open up investors overseas, China’s pricing power global commodity has improved over time.

We study the consequences of corporate default using China’s national credit registry. Borrowing after declines if lender or borrower is not state-controlled located in a highly developed province. After default, key social indicator, employment, does increase except for firms. A new bankruptcy law that increases creditor rights but reduces protection employees associated with lower post-default borrowing and employment. In contrast, firms borrow more under government initiative intended to...

Chinese futures exchanges began to implement nighttime trading hours in 2013. Years after, most commodity have adopted night session, and the market also has experienced fast development become more accessible foreign traders. Using daily data of futures, we explore influence policy on price dynamics domestic market. Empirical results from this study suggest an improvement overall efficiency prices. In particular, positive (negative) relationship between volatility volume (open interest)...

Internet search data, which is mainly treated as a representative index of investor attention, has been widely used in forecasting commodity markets. However, few papers discuss the role activity data real time instrument to quantify other complex market factors, such weather, geopolitical events and macroeconomic conditions. In this paper, we use an internet driven model forecast crude oil prices. With start fifty keywords relating markets, factors volume indices (FSVI) are generated by...

China is in the midst of a critical transition to carbon-neutral economy, with various policies and regulations being introduced facilitate this shift. This study focuses on open-end funds market China, significant component country's capital market, explore how it adapting during period economic transformation. Specifically, we investigate influence carbon Environmental, Social, Governance (ESG) risks flow funds. Our findings indicate that sustainability factors are considered investment...

Although the importance of second-order Arrow-Pratt coefficients risk aversion is well established, higher-order attitudes has only recently begun to be recognized. In this paper, we introduce a nonparametric approach directly measure in an expected utility framework using choices between compound lotteries and show how it can easily implemented behavioral studies. Specifically, provide theoretical basis for apportionment reveal intensity attitudes, then draw upon our results develop simple,...