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Using a data-set that provides unprecedented details on individual investors’ stockholdings, we analyse whether investors take into account corporate governance when they select stocks. After controlling for the supply effect via free float and other firm characteristics, we find that all...
Persistent link: https://www.econbiz.de/10005114455
quarterly data over 1983-2009. A second innovation is the theory-justified use of an estimate of the proportion of mortgages in …
Persistent link: https://www.econbiz.de/10008611018
Our objective in this paper is to examine whether one can use option-implied information to improve mean-variance portfolio selection with a large number of stocks, and to document which aspects of option-implied information are most useful for improving the out-of-sample performance of...
Persistent link: https://www.econbiz.de/10008530360
Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return predictability and the failure to convert return forecasts into economic gains. We show that resolving this puzzle requires accounting for important features of bond return models such...
Persistent link: https://www.econbiz.de/10011083511
Private pension provision faces the challenging task of providing stable income streams during retirement. The challenge has increased markedly in the last decades due to volatile financial markets, falling interest rates and the withdrawal of employers and external insurers as risk bearers of...
Persistent link: https://www.econbiz.de/10011252616
Can banks maintain their advantage as liquidity providers when they are heavily exposed to a financial crisis? The standard argument - that banks can - hinges on deposit inflows that are seeking a safe haven and provide banks with a natural hedge to fund drawn credit lines and other commitments....
Persistent link: https://www.econbiz.de/10009399713
We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States …
Persistent link: https://www.econbiz.de/10005662195
phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed …
Persistent link: https://www.econbiz.de/10005666589
We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States …
Persistent link: https://www.econbiz.de/10005504526
The paper analyzes the effects of changes to regulatory policy and to monetary policy on cross-border bank lending since the global financial crisis. Cross-border bank lending has decreased, and the home bias in the credit portfolio of banks has risen sharply, especially among banks in the euro...
Persistent link: https://www.econbiz.de/10011145418