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Strategic investment, industry concentration and the cross section of returns
Bustamante, Maria Cecilia - London School of Economics (LSE) - 2011
This paper provides an alternative real options framework to assess how firms' strategic interaction under imperfect competition a¤ects the industrial dynamics of investment, concentration, and expected returns. When firms have similar production technologies, the cross sectional variation in...
Persistent link: https://www.econbiz.de/10011071300
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Cash flow and discount rate risk in up and down markets: What is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - Center for Financial Studies - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10010986418
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Revisiting the home bias puzzle: Downside equity risk
Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...
Persistent link: https://www.econbiz.de/10010986470
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Rational trader risk
Kondor, Peter - London School of Economics (LSE) - 2004
Allowing for a richer information structure than usual, we show that rational traders’ calculation with short-term price fluctuations may heavily influence their behaviour even if the interim price is not influenced by non-rational agents i.e. there is no noise trader risk. Instead, traders...
Persistent link: https://www.econbiz.de/10010884635
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Who are the value and growth investors?
Betermier, Sebastien; Calvet, Laurent E.; Sodini, Paolo - Center for Financial Studies - 2014
This paper investigates the determinants of value and growth investing in a large administrative panel of Swedish residents over the 1999-2007 period. We document strong relationships between a household's portfolio tilt and the household's financial and demographic characteristics. Value...
Persistent link: https://www.econbiz.de/10010958609
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Revisiting the Home Bias Puzzle. Downside Equity Risk
Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...
Persistent link: https://www.econbiz.de/10005600445
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Portfolio choice beyond the traditional approach
Penaranda, Francisco - London School of Economics (LSE) - 2007
This paper surveys asset allocation methods that extend the traditional approach. An important feature of the traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there are also other important features that are not always...
Persistent link: https://www.econbiz.de/10010745189
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The international diversification puzzle is not worse than you think
Julliard, Christian - London School of Economics (LSE) - 2002
This paper offers two main contributions. First, it shows how the Baxter and Jermann (1997) claim that, once we consider human capital risk, the international diversification puzzle is worse than we think, is based on an econometric misspecification rejected by the data. Second, it outlines how,...
Persistent link: https://www.econbiz.de/10010746135
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Rational asset pricing implications from realistic trading frictions
Zigrand, Jean-Pierre - London School of Economics (LSE) - 2002
it is shown that arbitrage opportunities occur which could not have occured in a standard model. A certain and precise … degree of informativeness of prices to the traders is lost because the decision making process becomes endogenously segmented … and decentralized within the same decision making entity (distinct "trading desks"). It is shown that, compared to the …
Persistent link: https://www.econbiz.de/10010746573
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Optimal expectations
Brunnermeier, Markus K.; Parker, Jonathan A. - London School of Economics (LSE) - 2002
the other hand, expectations that are biased towards optimism worsen decision making, leading to poorer realized outcomes …
Persistent link: https://www.econbiz.de/10010746723