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Why did the real interest rate decline and the equity premium increase over the last 30 years? This paper assesses the role of uncertainty and credit market frictions. We quantify a model with heterogeneous households using data on asset prices and macro aggregates, as well as on households'...
Persistent link: https://www.econbiz.de/10014512052
In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … optimal deals by finding the portfolio weights in an asset demand system that targets return and risk. Extrapolating wildfire …
Persistent link: https://www.econbiz.de/10014512098
In the past two decades, a number of banks joined global initiatives aimed to mitigate climate change by "greening" their asset portfolios. We study whether banks that made such commitments have a different emission exposure of their portfolios of syndicated loans than banks that did not. We...
Persistent link: https://www.econbiz.de/10015056201
Portfolio optimization focuses on risk and return prediction, yet implementation costs critically matter. Predicting …
Persistent link: https://www.econbiz.de/10015094879
A number of papers have solved for the optimal dynamic portfolio strategy when expected returns are time-varying and trading is costly, but only for agents with myopic utility. Non-myopic agents benefit from hedging against future shocks to the investment opportunity set even when transaction...
Persistent link: https://www.econbiz.de/10015094900
feature higher risk free rates, lower risk premiums on fully diversified and concentrated assets, less capital accumulation …, yet higher consumption and welfare. Exposure to undiversified firm risk can explain approximately 40% of the level and 20 …
Persistent link: https://www.econbiz.de/10014250139
We document that value-to-price, the ratio of Residual-Income-Model-based valuation to market price, subsumes the power of book-to-market ratio and many other value or quality measures in predicting stock returns. Long-short value-to-price portfolios hedge against momentum, revitalize the...
Persistent link: https://www.econbiz.de/10014226164
) bilateral exports to the United States. The patterns in the data are consistent with the theory. The mean and the variance of …
Persistent link: https://www.econbiz.de/10014226112
to earn higher returns, or investing more broadly to reduce risk through diversification. Using a novel, deal …, but are also the least risky. Returns and risk are both increasing in industry or geographic concentration. And while GP … deal selection, to seek risk-adjusted fund-level returns …
Persistent link: https://www.econbiz.de/10014372421
To examine how financial education affects financial outcomes, one must evaluate whether and how sample selection may bias inferences regarding program impacts. Our incentivized experiment reveals how such selection influences estimated financial education effects. The more financially literate...
Persistent link: https://www.econbiz.de/10014372439