## Economic Consulting and Expert Testimony

### Hedge Funds: Risk and Return

Since the early 1990s, hedge funds have become an increasingly popular asset class. The amount invested globally in hedge funds rose from approximately $50 billion in 1990 to approximately $1 trillion by the end of 2004.1 And because these funds characteristically use substantial leverage, they play a far more important role in the global securities markets than the size of their net assets indicates. Market makers on the floor of the NYSE have estimated that during 2004, trades by hedge funds often accounted for more than half of the total daily number of shares changing hands. Moreover, investments in hedge funds have become an important part of the asset mix of institutions and even wealthy individual investors.
We examine a reasonably comprehensive database of hedge fund returns and estimate the magnitude of two substantial biases that can influence measures of hedge fund performance in the data series. The reader will see that these biases may be far greater than has been estimated in previous studies. In this article, we discuss our construction of a database that is relatively free of bias and examine not only the returns of hedge funds but also the distinctly non-normal characteristics of their returns. We also investigate the substantial attrition of hedge funds, analyze the determinants of hedge fund demise, and provide the results of tests of return persistence.

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“Hedge Funds: Risk and Return,” A. Saha, B. Malkiel, Financial Analysts Journal, 61(6) (2005), 80-88. Recipient of the Graham and Dodd “Best Perspectives Paper” Award, 2005

## Economic Consulting and Expert Testimony

### Has The VIX Been Manipulated?

Recently an influential academic study and many lawsuits have claimed that the VIX index has been manipulated since 2008. In this paper, we construct a regression model with explanatory variables that are exogenous to the index and examine the model prediction errors...

### Downside Risk Protection of Retirement Assets: A New Approach

Over the past few decades, 401(k) plans, IRA accounts, and other self-directed investment vehicles have become the most important pool of retirement savings, leaving retirees exposed to the risk of outliving their assets, a hazard largely absent from traditional...

### Detecting Price Artificiality and Manipulation in Futures Markets: An Application to Amaranth

We propose a general method to test whether economic data support the claim of futures market manipulation. We examine the question of whether or not Amaranth manipulated the market for natural gas futures using three alternative methods. The first is our contribution...

### Actively Managed versus Passive Mutual Funds: A Horse Race of Two Portfolios

This paper demonstrates that the average investor would be better off by following a readily implementable strategy of investing in a portfolio of the five largest active funds in U.S. equity, fixed income and international equity asset categories than investing in a...

### A Tale of Two Anomalies: Higher Returns of Low-Risk Stocks and Return Seasonality

Prior studies have shown that low beta and low volatility stocks earn higher average returns than high beta and high volatility stocks, contradicting the prediction of the capital asset pricing model and the fundamental relationship between risk and return. In this...

### An Intraday Event Study Methodology for Determining Loss Causation

We set out an intraday event study methodology relying on minute-by-minute data and formulate an analytical framework to determine the window of time, i.e., the event window, over which stock prices fully reflect relevant new information. While the traditional daily...

### Calculating Damages in ERISA Litigation

In this paper, we will present and discuss four different methodologies for calculating ERISA damages — what we will label the “best-performing fund,” “portfolio redistribution,” “most similar fund,” and “10b-5 style” ERISA damage methods. For purposes of...

### DCF Valuation with Cash Flow Cessation Risk

The typical discounted cash flow model used to value assets openly projects cash flows for an initial set of years and then typically assumes that the cash flows will grow at a constant rate into the indefinite future. In this paper, we discuss the implications for...

### Valuation of Cash Flows with Time-Varying Cessation Risk

We extend the analytical framework of traditional DCF models to allow for the possibility of a time-varying cessation risk for cash flows. We first set out a parsimonious functional form for time-dependent survival probability of cash flows and then derive a...

### Forward-Casting 10b-5 Damages: A Comparison to Other Methods

Rule 10b-5 lawsuits are front and center in the securities litigation landscape in terms of their importance and frequency, a position they have enjoyed for the last quarter of a century. The importance of Rule 10b-5 lies in the fact that it is the basic securities...

### The Clustering of Extreme Movements: Stock Prices and the Weather

A robust ﬁnding in this paper is that extreme movements in stock prices and temperature are usually preceded by large average daily movements during the preceding three-day period. This suggests that investors might fashion a market timing strategy, switching from...

### Securities Litigation and the Housing Market Downturn

This paper addresses one of the key issues – the foreseeability of the housing market downturn that began in September of 2007 and intensified in the fourth quarter of 2007 – that must be addressed in assessing the extensive securities class action litigation that has...

### The Loss Causation Requirement for Rule 10b-5 Causes-of-Action: The Implication of Dura Pharmaceuticals v. Broudo

In order to have recoverable damages in a Rule lOb-5 action, plaintiffs must establish loss causation, i.e., that the actionable misconduct was the cause of economic losses to the plaintiffs. The requirement of loss causation has come to the fore as a result of the...

### Why Do Hedge Funds Stop Reporting Their Performance?

It is well known that the voluntary reporting of hedge funds may cause biases in estimates of their investment returns. But wide disagreements exist in explaining why hedge funds stop reporting to the data-gathering services. Academic studies have suggested that poor...

### To Bundle or Not To Bundle: Firms’ Choices Under Pure Bundling

We examine the economic implications of pure bundling under the settings of monopoly and duopoly. We show that under monopoly and pure bundling of goods with independent demands, the bundled price is strictly less than the sum of the unbundled prices. In the setting...

### Complementary Goods: Prices and Consumer Welfare Under Duopoly and Monopoly

We examine prices, profits, and consumer surplus for differentiated complementary goods under duopoly and a multi-product monopoly. We find that little can be said about the relative magnitudes of prices of the components of a system of complementary goods under the...

### Generic Competition in the U.S. Pharmaceutical Industry

We develop a simultaneous equations estimation framework to understand the interactions among generic entry, prices, and market shares. We base our estimates on a panel data sample of 40 brand-name drugs that first experienced generic competition during the period...

### Hedge Funds: Risk and Return

Since the early 1990s, hedge funds have become an increasingly popular asset class. The amount invested globally in hedge funds rose from approximately $50 billion in 1990 to approximately $1 trillion by the end of 2004.1 And because these funds characteristically use...

### A New Approach to Estimating Damages in Mass Torts

Damage estimation in mass torts involving hazardous or defective products is often complicated by the unknown time-profile of disease incidence or failure rate. Because these cases involve diseases with long latencies or involve products that fail after years of...

### The Economics of Crime and Punishment: An Analysis of Optimal Penalty

This paper demonstrates the optimality of a non-maximal penalty in a hierarchical enforcement structure. The penalty is chosen by the social planner to maximize the probability of monitoring and to minimize the probability of transgression. We compare the optimal...

### Predicting The Price Effect of Mergers with Polynomial Logit Demand

We propose a polynomial logit model to quantify the price effects of mergers in a static Nash setting. The proposed model is parsimonious in parameters and is shown to have excellent predictive power, rivaling the in-sample and out-of-sample predictive accuracy of the...

### Globally Flexible Asymptotically Ideal Models

We have recently been involved in estimating a number of Asymptotically Ideal Model (AIM) forms on multiple data sets, and the experience has led us to consider the connection between theory and practice in some detail. The AIM has a number of claimed advantages that...

### The Clustering of Extreme Movements: Stock Prices and the Weather

A robust ﬁnding in this paper is that extreme movements in stock prices and temperature are usually preceded by large average daily movements during the preceding three-day period. This suggests that investors might fashion a market timing strategy, switching from...

### To Bundle or Not To Bundle: Firms’ Choices Under Pure Bundling

We examine the economic implications of pure bundling under the settings of monopoly and duopoly. We show that under monopoly and pure bundling of goods with independent demands, the bundled price is strictly less than the sum of the unbundled prices. In the setting...

### Generic Competition in the U.S. Pharmaceutical Industry

We develop a simultaneous equations estimation framework to understand the interactions among generic entry, prices, and market shares. We base our estimates on a panel data sample of 40 brand-name drugs that first experienced generic competition during the period...

### A New Approach to Estimating Damages in Mass Torts

Damage estimation in mass torts involving hazardous or defective products is often complicated by the unknown time-profile of disease incidence or failure rate. Because these cases involve diseases with long latencies or involve products that fail after years of...

### Globally Flexible Asymptotically Ideal Models

We have recently been involved in estimating a number of Asymptotically Ideal Model (AIM) forms on multiple data sets, and the experience has led us to consider the connection between theory and practice in some detail. The AIM has a number of claimed advantages that...

### Refutable Implications of the Firm Model Under Risk

Curvature properties of the indirect utility function are shown to be necessary and sufficient for refutable behavioral postulates in the form of comparative static results, reciprocity relations, and restrictions on output and input responses for firm models under...

### He Came, He Saw, [and] He Waited: An Empirical Analysis of Inertia in Technology Adoption

The innovation adoption literature has focused primarily on a producer’s decision of whether and how much to adopt. An equally pertinent question is when to adopt, because in the case of new technologies it often ‘pays to wait’ for more information....

### The Economics and Econometrics of Damage Control

Concern for the potentially harmful side effects of agricultural chemical inputs, especially pesticides, highlights the need to accurately determine the economic levels of their use. We consider three model specification issues: interaction of direct production inputs...

### Calculating Marginal Effects in Models for Zero Expenditures in Household Budgets Using a Heckman- type Correction

Using the Heckman approach, either in single-equation or multi-equation settings, general expressions are derived for calculating marginal effects and elasticities. In the conventional calculation of marginal effects, terms related to the change in the inverse of...

### Risk Preference Estimation in the Nonlinear Mean Standard Deviation Approach

Risk preferences and technology are jointly estimated in the nonlinear mean standard deviation framework for a competitive firm model under price risk. A utility function is proposed that nests various risk preference structures and risk neutrality as empirically...

### Calculating Marginal Effects in Dichotomous-Continuous Models

In many economic settings, individual decisions can be viewed as a sequential process where a dichotomous choice is followed by a continuous choice. These processes are frequently encountered in consumption demand studies, where the decision of whether or not to...

### Stochastic Production Function Estimation: Small Sample Properties of ML versus FGLS

Just – Pope production functions have been traditionally estimated by feasible generalized least squares (FGLS). This paper investigates the small-sample properties of FGLS and maximum likelihood (ML) estimators in heteroscedastic error models. Monte Carlo experiment...

### Expo-Power: A Flexible Hazard Function for Duration Data Models

Existing computationally tractable duration models impose onerous restrictions on the hazard function’s shape. A theoretically consistent, tractable and yet flexible hazard function capable of exhibiting constant, monotonically increasing or decreasing....

### Estimating Nested Count Data Models

Count data models have found a wide variety of applications not only in applied economics and finance but also in diverse fields ranging from biometrics to political science. Poisson and negative binomial (NB) models have been extensively used in count data analysis....

### Analysis of Food Away from Home Expenditure Patterns for US Households, 1982-1989

The two-step decision process for food-away-from-home (FAFH) consumption is empirically estimated using a generalization of the Heien and Wessells approach. Household information gathered by the National Panel Diary Group is used for the analysis. Marginal effects are...

### The Role of Information in Technology Adoption: The Case for rbST in the California Dairy Industry

Bovine somatotropin, a naturally-occurring hormone that enhances milk production in cows, can now be produced in large quantities using recombinant DNA technologies. Recent research suggests that the use of recombinant bovine somatotropin (rbST) could increase milk...

### Compensated Optimal Response Under Uncertainty in Agricultural Household Models

This study derives the qualitative properties of a household’s optimal consumption, family labor, hired labor and non-labor input choices under price and/or output risk through a Slutsky-type compensation without imposing any restriction on risk preference...

### Joint Estimation of Risk Preference and Production Technology Using the Expo-Power Utility Function

A method is developed to permit joint estimation of risk preference structure, degree of risk aversion, and production technology. The method is implemented using the Expo-Power utility function, which imposes no restrictions on risk preference structure. The...

### A Household Model of On-farm Storage Under Price Risk

We present an agricultural household model of consumption, storage, savings, and labor decisions and argue that food crop storage under price risk cannot be fully explained by “risk taking” or speculative behavior alone, as the commodity storage literature...

### Adoption of Emerging Technologies Under Uncertainty

A model of divisible technology adoption under incomplete information dissemination and output uncertainty is developed. We identify economic and subjective factors affecting technology adoption and its intensity. Empirical estimation employs a mixed...

### A Two-Season Agricultural Household Model of Storage and Savings Under Uncertainty

This paper presents a two-season model of a household’s production, consumption, labor supply, and storage decisions in an environment of output and price risk. The analytical results in this study are markedly different from those of models prevalent in the...

### Production and Savings Under Certainty

This paper studies an integrated model of production and savings under uncertainty in which production inputs and the amount of savings are jointly chosen. The analysis shows that if the agent’s risk preferences exhibit constant absolute risk aversion, then all...

### Expo-Power Utility: A Flexible Form for Absolute and Relative Risk Aversion

A new utility function, which I call expo-power, is proposed that exhibits decreasing, constant, or increasing absolute risk aversion and decreasing or increasing relative risk aversion, depending on parameter values. Numerical analysis suggests that the expo-power...

### A Tale of Two Anomalies: Higher Returns of Low-Risk Stocks and Return Seasonality

Prior studies have shown that low beta and low volatility stocks earn higher average returns than high beta and high volatility stocks, contradicting the prediction of the capital asset pricing model and the fundamental relationship between risk and return. In this...

### Detecting Price Artificiality and Manipulation in Futures Markets: An Application to Amaranth

We propose a general method to test whether economic data support the claim of futures market manipulation. We examine the question of whether or not Amaranth manipulated the market for natural gas futures using three alternative methods. The first is our contribution...

### The Clustering of Extreme Movements: Stock Prices and the Weather

We propose a general method to test whether economic data support the claim of futures market manipulation. We examine the question of whether or not Amaranth manipulated the market for natural gas futures using three alternative methods. The first is our contribution...

### Why Do Hedge Funds Stop Reporting Their Performance

### Hedge Funds: Risk and Return

### Actively Managed versus Passive Mutual Funds: A Horse Race of Two Portfolios

### Downside Risk Protection of Retirement Assets: A New Approach

### Detecting Price Artificiality and Manipulation in Futures Markets: An Application to Amaranth

### To Bundle or Not To Bundle: Firms’ Choices Under Pure Bundling

We examine the economic implications of pure bundling under the settings of monopoly and duopoly. We show that under monopoly and pure bundling of goods with independent demands, the bundled price is strictly less than the sum of the unbundled prices. In the setting...

### Complementary Goods: Prices and Consumer Welfare Under Duopoly and Monopoly

We examine prices, profits, and consumer surplus for differentiated complementary goods under duopoly and a multi-product monopoly. We find that little can be said about the relative magnitudes of prices of the components of a system of complementary goods under the...

### Generic Competition in the U.S. Pharmaceutical Industry

We develop a simultaneous equations estimation framework to understand the interactions among generic entry, prices, and market shares. We base our estimates on a panel data sample of 40 brand-name drugs that first experienced generic competition during the period...

### The Economics of Crime and Punishment: An Analysis of Optimal Penalty

This paper demonstrates the optimality of a non-maximal penalty in a hierarchical enforcement structure. The penalty is chosen by the social planner to maximize the probability of monitoring and to minimize the probability of transgression. We compare the optimal...

### Predicting The Price Effect of Mergers with Polynomial Logit Demand

We propose a polynomial logit model to quantify the price effects of mergers in a static Nash setting. The proposed model is parsimonious in parameters and is shown to have excellent predictive power, rivaling the in-sample and out-of-sample predictive accuracy of the...

### Globally Flexible Asymptotically Ideal Models

We have recently been involved in estimating a number of Asymptotically Ideal Model (AIM) forms on multiple data sets, and the experience has led us to consider the connection between theory and practice in some detail. The AIM has a number of claimed advantages that...

### Downside Risk Protection of Retirement Assets: A New Approach

Over the past few decades, 401(k) plans, IRA accounts, and other self-directed investment vehicles have become the most important pool of retirement savings, leaving retirees exposed to the risk of outliving their assets, a hazard largely absent from traditional...

### Actively Managed versus Passive Mutual Funds: A Horse Race of Two Portfolios

This paper demonstrates that the average investor would be better off by following a readily implementable strategy of investing in a portfolio of the five largest active funds in U.S. equity, fixed income and international equity asset categories than investing in a...

### An Intraday Event Study Methodology for Determining Loss Causation

We set out an intraday event study methodology relying on minute-by-minute data and formulate an analytical framework to determine the window of time, i.e., the event window, over which stock prices fully reflect relevant new information. While the traditional daily...

### Calculating Damages in ERISA Litigation

In this paper, we will present and discuss four different methodologies for calculating ERISA damages — what we will label the “best-performing fund,” “portfolio redistribution,” “most similar fund,” and “10b-5 style” ERISA damage methods. For purposes of...

### Forward-Casting 10b-5 Damages: A Comparison to Other Methods

Rule 10b-5 lawsuits are front and center in the securities litigation landscape in terms of their importance and frequency, a position they have enjoyed for the last quarter of a century. The importance of Rule 10b-5 lies in the fact that it is the basic securities...

### Detecting Price Artificiality and Manipulation in Futures Markets: An Application to Amaranth

### The Clustering of Extreme Movements: Stock Prices and the Weather

A robust ﬁnding in this paper is that extreme movements in stock prices and temperature are usually preceded by large average daily movements during the preceding three-day period. This suggests that investors might fashion a market timing strategy, switching from...

### Securities Litigation and the Housing Market Downturn

This paper addresses one of the key issues – the foreseeability of the housing market downturn that began in September of 2007 and intensified in the fourth quarter of 2007 – that must be addressed in assessing the extensive securities class action litigation that has...

### The Loss Causation Requirement for Rule 10b-5 Causes-of-Action: The Implication of Dura Pharmaceuticals v. Broudo

In order to have recoverable damages in a Rule lOb-5 action, plaintiffs must establish loss causation, i.e., that the actionable misconduct was the cause of economic losses to the plaintiffs. The requirement of loss causation has come to the fore as a result of the...

### Why Do Hedge Funds Stop Reporting Their Performance?

It is well known that the voluntary reporting of hedge funds may cause biases in estimates of their investment returns. But wide disagreements exist in explaining why hedge funds stop reporting to the data-gathering services. Academic studies have suggested that poor...

### Hedge Funds: Risk and Return

Since the early 1990s, hedge funds have become an increasingly popular asset class. The amount invested globally in hedge funds rose from approximately $50 billion in 1990 to approximately $1 trillion by the end of 2004.1 And because these funds characteristically use...

### Has The VIX Been Manipulated?

Recently an influential academic study and many lawsuits have claimed that the VIX index has been manipulated since 2008. In this paper, we construct a regression model with explanatory variables that are exogenous to the index and examine the model prediction errors...

### DCF Valuation with Cash Flow Cessation Risk

The typical discounted cash flow model used to value assets openly projects cash flows for an initial set of years and then typically assumes that the cash flows will grow at a constant rate into the indefinite future. In this paper, we discuss the implications for...

### Valuation of Cash Flows with Time-Varying Cessation Risk

We extend the analytical framework of traditional DCF models to allow for the possibility of a time-varying cessation risk for cash flows. We first set out a parsimonious functional form for time-dependent survival probability of cash flows and then derive a...

### An Intraday Event Study Methodology for Determining Loss Causation

We set out an intraday event study methodology relying on minute-by-minute data and formulate an analytical framework to determine the window of time, i.e., the event window, over which stock prices fully reflect relevant new information. While the traditional daily...

### Calculating Damages in ERISA Litigation

In this paper, we will present and discuss four different methodologies for calculating ERISA damages — what we will label the “best-performing fund,” “portfolio redistribution,” “most similar fund,” and “10b-5 style” ERISA damage methods. For purposes of...

### DCF Valuation with Cash Flow Cessation Risk

The typical discounted cash flow model used to value assets openly projects cash flows for an initial set of years and then typically assumes that the cash flows will grow at a constant rate into the indefinite future. In this paper, we discuss the implications for...

### Valuation of Cash Flows with Time-Varying Cessation Risk

We extend the analytical framework of traditional DCF models to allow for the possibility of a time-varying cessation risk for cash flows. We first set out a parsimonious functional form for time-dependent survival probability of cash flows and then derive a...

### Forward-Casting 10b-5 Damages: A Comparison to Other Methods

Rule 10b-5 lawsuits are front and center in the securities litigation landscape in terms of their importance and frequency, a position they have enjoyed for the last quarter of a century. The importance of Rule 10b-5 lies in the fact that it is the basic securities...

### Securities Litigation and the Housing Market Downturn

This paper addresses one of the key issues – the foreseeability of the housing market downturn that began in September of 2007 and intensified in the fourth quarter of 2007 – that must be addressed in assessing the extensive securities class action litigation that has...

### The Loss Causation Requirement for Rule 10b-5 Causes-of-Action: The Implication of Dura Pharmaceuticals v. Broudo

In order to have recoverable damages in a Rule lOb-5 action, plaintiffs must establish loss causation, i.e., that the actionable misconduct was the cause of economic losses to the plaintiffs. The requirement of loss causation has come to the fore as a result of the...

### A New Approach to Estimating Damages in Mass Torts

Damage estimation in mass torts involving hazardous or defective products is often complicated by the unknown time-profile of disease incidence or failure rate. Because these cases involve diseases with long latencies or involve products that fail after years of...

### Detecting Price Artificiality and Manipulation in Futures Markets: An Application to Amaranth

### Generic Competition in the U.S. Pharmaceutical Industry

### To Bundle or Not To Bundle: Firms’ Choices Under Pure Bundling

### Predicting The Price Effect of Mergers with Polynomial Logit Demand

We propose a polynomial logit model to quantify the price effects of mergers in a static Nash setting. The proposed model is parsimonious in parameters and is shown to have excellent predictive power, rivaling the in-sample and out-of-sample predictive accuracy of the...

### Generic Competition in the U.S. Pharmaceutical Industry

### Predicting The Price Effect of Mergers with Polynomial Logit Demand

### Detecting Price Artificiality and Manipulation in Futures Markets: An Application to Amaranth

### The Clustering of Extreme Movements: Stock Prices and the Weather

### Generic Competition in the U.S. Pharmaceutical Industry

### A New Approach to Estimating Damages in Mass Torts

### Predicting The Price Effect of Mergers with Polynomial Logit Demand

### Globally Flexible Asymptotically Ideal Models

### Refutable Implications of the Firm Model Under Risk

Curvature properties of the indirect utility function are shown to be necessary and sufficient for refutable behavioral postulates in the form of comparative static results, reciprocity relations, and restrictions on output and input responses for firm models under...

### He Came, He Saw, [and] He Waited: An Empirical Analysis of Inertia in Technology Adoption

The innovation adoption literature has focused primarily on a producer’s decision of whether and how much to adopt. An equally pertinent question is when to adopt, because in the case of new technologies it often ‘pays to wait’ for more information....

### The Economics and Econometrics of Damage Control

Concern for the potentially harmful side effects of agricultural chemical inputs, especially pesticides, highlights the need to accurately determine the economic levels of their use. We consider three model specification issues: interaction of direct production inputs...

### Calculating Marginal Effects in Models for Zero Expenditures in Household Budgets Using a Heckman- type Correction

Using the Heckman approach, either in single-equation or multi-equation settings, general expressions are derived for calculating marginal effects and elasticities. In the conventional calculation of marginal effects, terms related to the change in the inverse of...

### Risk Preference Estimation in the Nonlinear Mean Standard Deviation Approach

Risk preferences and technology are jointly estimated in the nonlinear mean standard deviation framework for a competitive firm model under price risk. A utility function is proposed that nests various risk preference structures and risk neutrality as empirically...

### Calculating Marginal Effects in Dichotomous-Continuous Models

In many economic settings, individual decisions can be viewed as a sequential process where a dichotomous choice is followed by a continuous choice. These processes are frequently encountered in consumption demand studies, where the decision of whether or not to...

### Stochastic Production Function Estimation: Small Sample Properties of ML versus FGLS

Just – Pope production functions have been traditionally estimated by feasible generalized least squares (FGLS). This paper investigates the small-sample properties of FGLS and maximum likelihood (ML) estimators in heteroscedastic error models. Monte Carlo experiment...

### Expo-Power: A Flexible Hazard Function for Duration Data Models

Existing computationally tractable duration models impose onerous restrictions on the hazard function’s shape. A theoretically consistent, tractable and yet flexible hazard function capable of exhibiting constant, monotonically increasing or decreasing....

### Estimating Nested Count Data Models

Count data models have found a wide variety of applications not only in applied economics and finance but also in diverse fields ranging from biometrics to political science. Poisson and negative binomial (NB) models have been extensively used in count data analysis....

### Analysis of Food Away from Home Expenditure Patterns for US Households, 1982-1989

The two-step decision process for food-away-from-home (FAFH) consumption is empirically estimated using a generalization of the Heien and Wessells approach. Household information gathered by the National Panel Diary Group is used for the analysis. Marginal effects are...

### The Role of Information in Technology Adoption: The Case for rbST in the California Dairy Industry

Bovine somatotropin, a naturally-occurring hormone that enhances milk production in cows, can now be produced in large quantities using recombinant DNA technologies. Recent research suggests that the use of recombinant bovine somatotropin (rbST) could increase milk...

### Compensated Optimal Response Under Uncertainty in Agricultural Household Models

This study derives the qualitative properties of a household’s optimal consumption, family labor, hired labor and non-labor input choices under price and/or output risk through a Slutsky-type compensation without imposing any restriction on risk preference...

### Joint Estimation of Risk Preference and Production Technology Using the Expo-Power Utility Function

A method is developed to permit joint estimation of risk preference structure, degree of risk aversion, and production technology. The method is implemented using the Expo-Power utility function, which imposes no restrictions on risk preference structure. The...

### A Household Model of On-farm Storage Under Price Risk

We present an agricultural household model of consumption, storage, savings, and labor decisions and argue that food crop storage under price risk cannot be fully explained by “risk taking” or speculative behavior alone, as the commodity storage literature...

### Adoption of Emerging Technologies Under Uncertainty

A model of divisible technology adoption under incomplete information dissemination and output uncertainty is developed. We identify economic and subjective factors affecting technology adoption and its intensity. Empirical estimation employs a mixed...

### A Two-Season Agricultural Household Model of Storage and Savings Under Uncertainty

This paper presents a two-season model of a household’s production, consumption, labor supply, and storage decisions in an environment of output and price risk. The analytical results in this study are markedly different from those of models prevalent in the...

### Production and Savings Under Certainty

This paper studies an integrated model of production and savings under uncertainty in which production inputs and the amount of savings are jointly chosen. The analysis shows that if the agent’s risk preferences exhibit constant absolute risk aversion, then all...

### Expo-Power Utility: A Flexible Form for Absolute and Relative Risk Aversion

A new utility function, which I call expo-power, is proposed that exhibits decreasing, constant, or increasing absolute risk aversion and decreasing or increasing relative risk aversion, depending on parameter values. Numerical analysis suggests that the expo-power...