When the underlying price process is a one-dimensional diffusion, as well as in certain restricted stochastic volatility settings, a contingent claim's delta is bounded by the infimum and supremum of its delta at maturity. Further, if the claim's payoff is convex (concave), the claim's price is a convex (concave) function of the underlying asset's value. However, when volatility is less specialized, or when the underlying process is discontinuous or non-Markovian, a call's price can be a decreasing, concave function of the underlying price over some range, increasing with the passage of time, and decreasing in the level of interest rates.

When the underlying price process is a one‐dimensional diffusion, as well as in certain restricted stochastic volatility settings, a contingent claim's delta is bounded by the infimum and supremum of its delta at maturity. Further, if the claim's payoff is convex (concave), the claim's price is a convex (concave) function of the underlying asset's value. However, when volatility is less specialized, or when the underlying process is discontinuous or non‐Markovian, a call's price can be a decreasing, concave function of the underlying price over some range, increasing with the passage of time, and decreasing in the level of interest rates.

This paper studies how welfare outcomes in centralized school choice depend on the assignment mechanism when participants are not fully informed. Using a survey of school choice participants in a strategic setting, we show that beliefs about admissions chances differ from rational expectations values and predict choice behavior. To quantify the welfare costs of belief errors, we estimate a model of school choice that incorporates subjective beliefs. We evaluate the equilibrium effects of switching to a strategy-proof deferred acceptance algorithm, and of improving households’ belief accuracy. We find that a switch to truthful reporting in the DA mechanism offers welfare improvements over the baseline given the belief errors we observe in the data, but that an analyst who assumed families had accurate beliefs would have reached the opposite conclusion.

We use a population resettlement program in Indonesia to identify long-run effects of intergroup contact on national integration. In the 1980s, the government relocated two million ethnically diverse migrants into hundreds of new communities. We find greater integration in fractionalized communities with many small groups, as measured by national language use at home, intermarriage, and children’s name choices. However, in polarized communities with a few large groups, ethnic attachment increases and integration declines. Residential segregation dampens these effects. Social capital, public goods, and ethnic conflict follow similar patterns. Overall, our findings highlight the importance of localized contact in shaping identity.

We use a natural experiment in Indonesia to provide causal evidence on the role of location-specific human capital and skill transferability in shaping the spatial distribution of productivity. From 1979–1988, the Transmigration Program relocated two million migrants from rural Java and Bali to new rural settlements in the Outer Islands. Villages assigned migrants from regions with more similar agroclimatic endowments exhibit higher rice productivity and nighttime light intensity one to two decades later. We find some evidence of migrants' adaptation to agroclimatic change. Overall, our results suggest that regional productivity differences may overstate the potential gains from migration.

We present evidence on the level of and trend in inequality from 1985-2010 in the United States, using disposable income and consumption for a sample of individuals from the Consumer Expenditure (CE) Survey. Differing from the findings in other recent research, we find that the trends in income and consumption inequality are broadly similar between 1985 and 2006, but diverge during the Great Recession with consumption inequality decreasing and income inequality increasing. Given the differences in the trends in inequality in the last four years, using both income and consumption provides useful information.

Risk Preferences in the PSID: Individual Imputations and Family Covariation by Miles S. Kimball, Claudia R. Sahm and Matthew D. Shapiro. Published in volume 99, issue 2, pages 363-68 of American Economic Review, May 2009

Exploring the Impact of Financial Incentives on Stereotype Threat: Evidence from a Pilot Study by Roland G. Fryer Jr., Steven D. Levitt and John A. List. Published in volume 98, issue 2, pages 370-75 of American Economic Review, May 2008

While neoclassical models assume static cost-minimization by firms, agency models suggest that firms may not minimize costs in less-competitive or regulated environments. We test this using a transition from cost-of-service regulation to market-oriented environments for many US electric generating plants. Our estimates of input demand suggest that publicly owned plants, whose owners were largely insulated from these reforms, experienced the smallest efficiency gains, while investor-owned plants in states that restructured their wholesale electricity markets improved the most. The results suggest modest medium-term efficiency benefits from replacing regulated monopoly with a market-based industry structure.

We investigate the effect of scale on performance in the active money management industry. We first document that fund returns, both before and after fees and expenses, decline with lagged fund size, even after accounting for various performance benchmarks. We then explore a number of potential explanations for this relationship. This association is most pronounced among funds that have to invest in small and illiquid stocks, suggesting that these adverse scale effects are related to liquidity. Controlling for its size, a fund's return does not deteriorate with the size of the family that it belongs to, indicating that scale need not be bad for performance depending on how the fund is organized. Finally, using data on whether funds are solo-managed or team-managed and the composition of fund investments, we explore the idea that scale erodes fund performance because of the interaction of liquidity and organizational diseconomies.