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Ang, Andrew - 2005

Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross-section of...

Persistent link: https://www.econbiz.de/10012466847

Downside Risk and the Momentum Effect

Ang, Andrew - 2001

Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market, have higher returns. After controlling for the market beta, the size effect and the book-to-market effect, the average rate of return on stocks with the greatest downside risk...

Persistent link: https://www.econbiz.de/10012470072

Why Stocks May Disappoint

Ang, Andrew - 2000

Recently much progress has been made in developing optimal portfolio choice models accomodating time-varying opportunity sets, but unless investors are unreasonably risk averse, optimal holdings include unreasonably large equity positions. One reason is that most studies assume investors behave...

Persistent link: https://www.econbiz.de/10012470967

International Asset Allocation with Time-Varying Correlations

Ang, Andrew - 1999

It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a...

Persistent link: https://www.econbiz.de/10012471745

Exchange Rate Management : Intertemporal Tradoffs

Helpman, Elhanan - 1985

The management of the exchange rate is possible only if the government pursues a monetary-fiscal policy mix which is consistent with its exchange rate targets. In this paper with uncertainty concerning the length of individual life the real consequences of exchange rate management depend on the...

Persistent link: https://www.econbiz.de/10012477494

Balance-of-Payments Crises and Devaluation

Obstfeld, Maurice - 1983

The collapse of a fixed exchange rate is typically marked by a sudden balance-of-payments crisis in which"speculators" fleeing from the domestic currency acquire a large portion of the central bank's foreign exchange holdings.Faced with such an attack, the central bank often withdraws...

Persistent link: https://www.econbiz.de/10012477999

Macroeconomic Policy, Exchange-Rate Dynamics, and Optimal Asset Accumulation

Obstfeld, Maurice - 1980

The paper develops a model of exchange-rate and current-account determination for a small economy peopled by infinitely lived, utility-maximizing households. In this setting, a central-bank purchase of foreign exchange has no real effects when central-bank foreign reserves earn interest at the...

Persistent link: https://www.econbiz.de/10012478526

The Capitalization of Income Streams and the Effects of Open Market Policy under Fixed Exchange Rates

Obstfeld, Maurice - 1980

This paper investigates the long- and short-run neutrality of open-market monetary policy in a world of fixed exchange rates and imperfect substitutability between bonds denominated in different currencies. Using an illustrative portfolio-balance model, it shows that when the public discounts...

Persistent link: https://www.econbiz.de/10012478607

The Cross-Section and Time-Series of Stock and Bond Returns

Koijen, Ralph S.J. - 2010

Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets' perception of cyclical variation in future output growth, than growth stocks. The ICAPM then predicts a value risk premium provided that good news about future output lowers the...

Persistent link: https://www.econbiz.de/10012462964

Rational Attention Allocation Over the Business Cycle

Kacperczyk, Marcin - 2009

largest literatures in finance. One candidate explanation is that funds process information about future asset values and use … that information to invest in high-valued assets. But formal theories are scarce because information choice models with … attention allocation model that uses the state of the business cycle to predict information choices, which in turn, predict …

Persistent link: https://www.econbiz.de/10012463199