Similar Search Results

Measuring and Modelling Variation in the Risk-Return Trade-off

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001

Are excess stock market returns predictable over time and, if so, at what horizons and with which economic indicators? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk change over time? This chapter reviews what is known...

Persistent link: https://www.econbiz.de/10005498159

Finance and Efficiency: Do Bank Branching Regulations Matter?

Acharya, Viral V; Imbs, Jean; Sturgess, Jason - C.E.P.R. Discussion Papers - 2007

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States. On the basis of observed growth in sectoral value added output, we calculate for each state the efficient frontier for investments in the real economy, the efficient Sharpe...

Persistent link: https://www.econbiz.de/10005504526

Forecasting Stock Returns under Economic Constraints

Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2013

We propose a new approach to imposing economic constraints on time-series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We...

Persistent link: https://www.econbiz.de/10011083895

Finance and Efficiency: Do Bank Branching Regulations Matter?

Acharya, Viral V; Imbs, Jean; Sturgess, Jason - C.E.P.R. Discussion Papers - 2007

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States. On the basis of observed growth in sectoral value-added output, we calculate for each state the efficient frontier for investments in the real economy. We study how rapidly...

Persistent link: https://www.econbiz.de/10005662195

Performance Measures for Dynamic Portfolio Management

Nielsen, Lars Tyge; Vassalou, Maria - C.E.P.R. Discussion Papers - 1998

This paper proposes instantaneous versions of the Sharpe ratio and Jensen’s alpha as performance measures for managed portfolios. Both are derived from optimal portfolio selection theory in a dynamic model. The instantaneous Sharpe ratio equals the discrete Sharpe ratio plus half of the...

Persistent link: https://www.econbiz.de/10005666483

Dynamic Incentive Accounts

Edmans, Alex; Gabaix, Xavier; Sadzik, Tomasz; Sannikov, … - C.E.P.R. Discussion Papers - 2009

through both productive effort and costly manipulation, and may undo the contract by privately saving. The optimal contract …

Persistent link: https://www.econbiz.de/10008477185

Manipulation of Metals Futures: Lessons from Sumitomo

Gilbert, Christopher L - C.E.P.R. Discussion Papers - 1997

the world copper market, from at least 1991 until earlier this year. This manipulation has concentrated attention on the … manipulation is not illegal under UK financial services regulation, but that in any case, deterrence is better than prosecution …. Manipulation will be best deterred by greater transparency, in particular through mandatory reporting of client positions to …

Persistent link: https://www.econbiz.de/10005662332

Investor Interest and Hedge Fund Returns

Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2010

Employing a new dataset of over 9,000 expressed demands for over 700 hedge funds from a secondary market for hedge funds, this paper finds evidence suggesting that hedge fund investors rationally anticipate future hedge fund performance. Both buy and sell indications of interest arrive following...

Persistent link: https://www.econbiz.de/10008692307

On the High-Frequency Dynamics of Hedge Fund Risk Exposures

Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2011

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important...

Persistent link: https://www.econbiz.de/10009205059

Performance Maximization of Actively Managed Funds

Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - C.E.P.R. Discussion Papers - 2010

Ratios that indicate the statistical significance of a fund’s alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...

Persistent link: https://www.econbiz.de/10008468707