Similar Search Results

Discounting in an Uncertain World - Disentangling the Debate on the Weitzman-Gollier Puzzle

Buchholz, Wolfgang - CESifo - 2014

Under conditions of risk it makes a difference whether the discount rate is determined as an expected present or as an …

Persistent link: https://www.econbiz.de/10010948878

Jump Processes in Natural Gas Markets

Mason, Charles F.; Wilmot, Neil - CESifo - 2014

Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in...

Persistent link: https://www.econbiz.de/10010877967

Forecasting Exchange Rates: An Investor Perspective

Melvin, Michael; Prins, John; Shand, Duncan - CESifo - 2013

perspective, a particular approach to quantitative modeling is presented that incorporates return forecasts, a risk model, and a …

Persistent link: https://www.econbiz.de/10010659187

Short-Term Price Overreactions: Identification, Testing, Exploitation

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - CESifo - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an “inertia anomaly”, i.e. after an...

Persistent link: https://www.econbiz.de/10011075719

Asset Pricing with Uncertain Betas: A Long-Term Perspective

Gollier, Christian - CESifo - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10010877682

Risk-Taking-Neutral Background Risk

Franke, Guenter; Schlesinger, Harris; Stapleton, Richard C. - CESifo - 2013

We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they … will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a … decision made with and without some exogenous background risk, it is often easier to compare the decision made to one made with …

Persistent link: https://www.econbiz.de/10010877707

Adults' Financial Literacy and Households' Financial Assets: The Role of Banks Information Policies

Fort, Margherita; Manaresi, Francesco; Trucchi, Serena - CESifo - 2014

We investigate the role of banks information policies in fostering the accumulation of financial knowledge. In Italy, banks belonging to the PattiChiari Consortium implement policies aimed at increasing transparency and procedural simplification, without offering services at lower cost with...

Persistent link: https://www.econbiz.de/10010948806

Asset Allocation and Monetary Policy: Evidence from the Eurozone

Hau, Harald; Lai, Sandy - CESifo - 2014

) tightness of monetary policy to examine its influence on equity and money market flows. In line with a powerful risk …

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

Homeownership and Entrepreneurship: The Role of Mortgage Debt and Commitment

Bracke, Philippe; Hilber, Christian; Silva, Olmo - CESifo - 2014

rate of interest on liquid wealth: (i) mortgage debt, by amplifying risk aversion, diminishes the likelihood that …

Persistent link: https://www.econbiz.de/10010948829

Debt Sustainability in the Case of External Debt. An Analysis Based on Italy's Treasury Auctions

Cafiso, Gianluca - CESifo - 2014

The objective of this paper is to assess whether external debt makes a difference for public debt stabilization, where external debt is considered through the non-residents’ holdings according to a Balance of Payments perspective. The analysis is empirical and considers the case of Italy, one...

Persistent link: https://www.econbiz.de/10010948904

1
2
3
4
5
6
7
8
9
10
Next
Last