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Investors' horizons and the Amplification of Market Shocks

Cella, Cristina; Ellul, Andrew; Giannetti, Mariassunta - C.E.P.R. Discussion Papers - 2010

After negative shocks, investors with short trading horizons are inclined or forced to sell their holdings to a larger extent than investors with longer trading horizons. This may amplify the effects of market-wide shocks on stock prices. We test the relevance of this mechanism by exploiting the...

Persistent link: https://www.econbiz.de/10008683532

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, … - C.E.P.R. Discussion Papers - 2015

regulations, alter financial institutions’ trading behavior. The insurance industry provides a natural laboratory to explore these …

Persistent link: https://www.econbiz.de/10011186617

Buffett’s Alpha

Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2013

Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to...

Persistent link: https://www.econbiz.de/10011083650

Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005

Acharya, Viral V; Schaefer, Stephen M; Zhang, Yili - C.E.P.R. Discussion Papers - 2007

The GM and Ford downgrade to junk status during May 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced in the significant imbalance in their quotes...

Persistent link: https://www.econbiz.de/10005123999

Genetic Tests and Intertemporal Screening in Competitive Insurance Markets

Emons, Winand - C.E.P.R. Discussion Papers - 2007

We consider successive generations of non-altruistic individuals carrying a good or bad gene. Daughters are more likely to carry their mother's gene than the opposite one. Competitive insurers can perform a genetic test revealing an agent's gene. They may condition their quotes on the agent's or...

Persistent link: https://www.econbiz.de/10005661858

Macroinsurance for Microenterprises: A Randomized Experiment in Post-Revolution Egypt

McKenzie, David - C.E.P.R. Discussion Papers - 2014

macroeconomic and political uncertainty. Demand for macroeconomic shock insurance was high; 36.7 percent of microentrepreneurs in … the treatment group purchased insurance. However, purchasing insurance does not change the likelihood that a business … microenterprises. However, insurance may still be of value to them to help cope with shocks when they do occur, but we are unable to …

Persistent link: https://www.econbiz.de/10011084029

A Model of Credit Risk, Optimal Policies and Asset Prices

Basak, Suleyman; Shapiro, Alex - C.E.P.R. Discussion Papers - 2002

This Paper studies the optimal policies of borrowers (firms or individuals) who may default subject to default costs, and analyses the asset pricing implications. Borrowers defaulting under adverse economic conditions may, despite incurring default costs, emerge as wealthier than non-borrowers...

Persistent link: https://www.econbiz.de/10005788927

Does Propitious Selection Explain Why Riskier People Buy Less Insurance?

De Donder, Philippe; Hindriks, Jean J.G. - C.E.P.R. Discussion Papers - 2006

Empirical testing of asymmetric information in the insurance market has uncovered a negative correlation between risk … levels and insurance purchases, rather than the positive correlation predicted by the standard insurance theory. Hemenway … insurance buyers have different tastes for risk and that 'individuals who are highly risk avoiding are more likely both to try …

Persistent link: https://www.econbiz.de/10005791420

Risk Return and Portfolio Allocation under Alternative Pension Systems with Imperfect Financial Markets

Cerny, Ales; Miles, David K - C.E.P.R. Discussion Papers - 2001

This Paper uses stochastic simulations on calibrated models to assess the steady state impact of different pension arrangements in an environment where financial markets are less than perfect. Surprisingly little is known about the optimal split between funded and unfunded systems when there are...

Persistent link: https://www.econbiz.de/10005792047

Firm Size Distribution: Testing the 'Independent Submarkets Model' in the Italian Motor Insurance Industry

Buzzacchi, Luigi; Valletti, Tommaso - C.E.P.R. Discussion Papers - 2002

This Paper tests the presence of multiple independent submarkets in the Italian motor insurance industry. Independence …

Persistent link: https://www.econbiz.de/10005792543