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Dissecting saving dynamics: Measuring wealth, precautionary, and credit effects
Carroll, Christopher D.; Slacalek, Jiri; Sommer, Martin - Center for Financial Studies - 2012
wealth, with the target determined by credit conditions and uncertainty. An estimated structural version of the model … suggests that increased credit availability accounts for most of the long-term saving decline, while fluctuations in wealth and …
Persistent link: https://www.econbiz.de/10010958787
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Arjen - Center for Financial Studies - 2010
may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …
Persistent link: https://www.econbiz.de/10010986389
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The 2011 European short sale ban on financial stocks: A cure or a curse?
Félix, Luiz; Kräussl, Roman; Stork, Philip - Center for Financial Studies - 2013
Did the August 2011 European short sale bans on financial stocks accomplish their goals? In order to answer this question, we use stock options' implied volatility skews to proxy for investors' risk aversion. We find that on ban announcement day, risk aversion levels rose for all stocks but more...
Persistent link: https://www.econbiz.de/10010986416
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On the Relation between Robust and Bayesian Decision Making
Adam, Klaus - Center for Financial Studies - 2003
This paper compares Bayesian decision theory with robust decision theory where the decision maker optimizes with respect to the worst state realization. For a class of robust decision problems there exists a sequence of Bayesian decision problems whose solution converges towards the robust...
Persistent link: https://www.econbiz.de/10010958626
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Manipulating reliance on intuition reduces risk and ambiguity aversion
Butler, Jeffrey V.; Guiso, Luigi; Jappelli, Tullio - Center for Financial Studies - 2013
Prior research suggests that those who rely on intuition rather than effortful reasoning when making decisions are less averse to risk and ambiguity. The evidence is largely correlational, however, leaving open the question of the direction of causality. In this paper, we present experimental...
Persistent link: https://www.econbiz.de/10010958753
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Stock returns and expected business conditions: Half a century of direct evidence
Campbell, Sean D.; Diebold, Francis X. - Center for Financial Studies - 2005
controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which … of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk …, while time-varying consumption/wealth may capture time-varying risk aversion. …
Persistent link: https://www.econbiz.de/10010958776
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Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
Campbell, Sean D.; Diebold, Francis X. - Center for Financial Studies - 2005
controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which … of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk …, while time-varying consumption/wealth may capture time-varying risk aversion. …
Persistent link: https://www.econbiz.de/10005176432
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On the Relation between Robust and Bayesian Decision Making
Adam, Klaus - Center for Financial Studies - 2003
This paper compares Bayesian decision theory with robust decision theory where the decision maker optimizes with respect to the worst state realization. For a class of robust decision problems there exists a sequence of Bayesian decision problems whose solution converges towards the robust...
Persistent link: https://www.econbiz.de/10005176443
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Money in motion: Dynamic portfolio choice in retirement
Horneff, Wolfram J.; Maurer, Raimond H.; Mitchell, Olivia S. - Center for Financial Studies - 2007
allocation decisions when managing her retirement financial wealth and annuities, and we prove that she can benefit from both the …; rather, her optimal stock allocation amounts initially to more than half of her financial wealth and declines with age …. Welfare gains from this strategy can amount to 40 percent of financial wealth (depending on risk parameters and other …
Persistent link: https://www.econbiz.de/10010958527
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Optimal life cycle portfolio choice with housing market cycles
Marekwica, Marcel; Stamos, Michael Z. - Center for Financial Studies - 2010
During the last decades households in the U.S. have experienced that residential house prices move in a persistent manner, i.e. that returns are positively serially correlated. Since an owner-occupied home is usually the largest investment of a household it is important to understand how...
Persistent link: https://www.econbiz.de/10010958607