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On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
Chabi-Yo, Fousseni; Ghysels, Eric; Renault, Eric - Bank of Canada - 2008
The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...
Persistent link: https://www.econbiz.de/10005220952
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Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
Gungor, Sermin; Luger, Richard - Bank of Canada - 2013
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...
Persistent link: https://www.econbiz.de/10010667177
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Collateral and Credit Supply
Atta-Mensah, Joseph - Bank of Canada - 2003
market value of the collateral. Increases in the volatility of the value of the collateral, interest rate, and dividend rate …
Persistent link: https://www.econbiz.de/10005673263
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Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing
Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - Bank of Canada - 2007
Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem...
Persistent link: https://www.econbiz.de/10005808375
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International Capital Flows and Bond Risk Premia
Sierra, Jesus - Bank of Canada - 2010
This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...
Persistent link: https://www.econbiz.de/10008527619
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The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - Bank of Canada - 2005
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the … volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns. The authors …-linear functions of the underlying asset payoffs. The authors construct a new volatility surface frontier in a three-dimensional space …
Persistent link: https://www.econbiz.de/10005162473
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Idiosyncratic Coskewness and Equity Return Anomalies
Chabi-Yo, Fousseni; Yang, Jun - Bank of Canada - 2010
factors help us understand the idiosyncratic volatility puzzle found in Ang, Hodrick, Xing, and Zhang (2006). They reduce the … return difference between portfolios with the smallest and largest idiosyncratic volatility by more than 60%, although the …
Persistent link: https://www.econbiz.de/10008577437
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Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
Gungor, Sermin; Luger, Richard - Bank of Canada - 2010
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of...
Persistent link: https://www.econbiz.de/10008765828
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The Private Equity Premium Puzzle Revisited
Kartashova, Katya - Bank of Canada - 2011
In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors’ methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989–1998...
Persistent link: https://www.econbiz.de/10008839155
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Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities
Beirne, John; Friedrich, Christian - Bank of Canada - 2014
This paper assesses the effectiveness and associated externalities that arise when macroprudential policies (MPPs) are used to manage international capital flows. Using a sample of up to 139 countries, we examine the impact of eight different MPP measures on cross-border bank flows over the...
Persistent link: https://www.econbiz.de/10010849941