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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

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

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

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

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

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

A Dynamic Analysis of the Demand for Health Insurance and Health Care

Bolhaar, Jonneke; Lindeboom, Maarten; van der Klaauw, Bas - C.E.P.R. Discussion Papers - 2008

insurance. For this we specify and estimate dynamic models for health insurance decisions and health care utilization. Estimates …

Persistent link: https://www.econbiz.de/10005504294

Competitive Risk Sharing Contracts with One-Sided Commitment

Krueger, Dirk; Uhlig, Harald - C.E.P.R. Discussion Papers - 2004

not only autarky, but also partial and full insurance can obtain, depending on the relative patience of agents and … financial intermediaries. Insurance can be provided because in an equilibrium contract an up-front payment effectively locks in …

Persistent link: https://www.econbiz.de/10005498096

Agricultural Decisions after Relaxing Credit and Risk Constraints

Karlan, Dean S.; Osei, Robert; Osei-Akoto, Isaac; Udry, … - C.E.P.R. Discussion Papers - 2012

. Binding credit market constraints and incomplete insurance can reduce investment in activities with high expected profits. We … opportunities to purchase rainfall index insurance, or a combination of the two. Demand for index insurance is strong, and insurance … to farmer investment is uninsured risk: when provided with insurance against the primary catastrophic risk they face …

Persistent link: https://www.econbiz.de/10011083318

The Supermodular Stochastic Ordering

Meyer, Margaret A; Strulovici, Bruno - C.E.P.R. Discussion Papers - 2013

by heterogeneous lotteries. Applications to welfare economics, committee decision-making, insurance, finance, and …

Persistent link: https://www.econbiz.de/10011083601