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Asset Allocation and Monetary Policy: Evidence from the Eurozone

Hau, Harald; Lai, Sandy - CESifo - 2014

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003-2010. We use this cross-country variation in the (local) tightness of monetary policy to examine its...

Persistent link: https://www.econbiz.de/10010948820

Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?

Babalos, Vassilis; Caporale, Guglielmo Maria; … - CESifo - 2013

This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences. Fund performance is evaluated against funds’ designated market indices and representative style portfolios. Consistently with previous studies, no significant differences in...

Persistent link: https://www.econbiz.de/10010667412

Pension Benefit Insurance and Pension Plan Portfolio Choice

Crossley, Thomas; Jametti, Mario - CESifo - 2008

Pension benefit guarantee policies have been introduced in several countries to protect private pension plan members from the loss of income that would occur if a plan was underfunded when the sponsoring firm terminates a plan. Most of these public insurance schemes face financial difficulty and...

Persistent link: https://www.econbiz.de/10005094172

Which Factors Drive the Decision to Boycott and Opt Out of Research Rankings?

Berlemann, Michael; Haucap, Justus - CESifo - 2012

subjects (such as finance and operations research) are less likely to boycott the ranking, while researchers in some less …

Persistent link: https://www.econbiz.de/10010877835

Market Structure and the Cost of Capital

Arouri, Mohamed El Hedi; Rault, Christophe; Sova, Robert; … - CESifo - 2013

We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model …

Persistent link: https://www.econbiz.de/10010877642

An Alternative Conditional Asymmetry Specification for Stock Returns

Brännäs, Kurt; Nordman, Niklas - CESifo - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10005765680

The Economics of Insurance, its Borders with Finance and Implications for Systemic Regulation

Thimann, Christian - CESifo - 2015

international finance is ‘what is insurance and where does insurance end?’ This paper aims to elaborate on the economics of … insurance and its borders with general finance. It argues that the classification challenge by regulators partly stems from … terminological confusion between insurance activities and more general financial activities. Insurance and finance both use the same …

Persistent link: https://www.econbiz.de/10011165510

Synchronization and Changes in International Inflation Uncertainty

Henzel, Steffen; Wieland, Elisabeth - CESifo - 2013

We investigate the international linkages of inflation uncertainty in the G7. In a first step, we document that inflation uncertainty in the G7 is intertwined. Moreover, the degree of synchronization has increased during the recent two decades. Second, based on a Factor-Structural Vector...

Persistent link: https://www.econbiz.de/10010877745

Unobserved Tax Avoidance and the Tax Elasticity of FDI

Egger, Peter; Merlo, Valeria; Wamser, Georg - CESifo - 2014

This paper investigates the tax responsiveness of multinational firms’ investment decisions in foreign countries, distinguishing firms that are able to avoid taxes (avoiders) from those that are not (non-avoiders). From a theoretical point of view, the tax responsiveness of firms crucially...

Persistent link: https://www.econbiz.de/10010877852

Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis

Henzel, Steffen; Rengel, Malte - CESifo - 2014

Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which...

Persistent link: https://www.econbiz.de/10010948818