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Measuring confidence and uncertainty during the financial crisis: Evidence from the CFS survey
Entorf, Horst; Knoll, Christian; Sattarova, Liliya - Center for Financial Studies - 2011
The CFS survey covers individual situations of banks and other companies of the financial sector during the financial crisis. This provides a rare possibility to analyze appraisals, expectations and forecast errors of the core sector of the recent turmoil. Following standard ways of aggregating...
Persistent link: https://www.econbiz.de/10010958702
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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
extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …
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
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 international equity allocation for the downside risk investor using 9 … globally, but instead act locally, due to greater downside risk. The results provide an alternative view of the home bias …
Persistent link: https://www.econbiz.de/10010986470
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Revisiting the Home Bias Puzzle. Downside Equity Risk
Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006
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 international equity allocation for the downside risk investor using 9 … globally, but instead act locally, due to greater downside risk. The results provide an alternative view of the home bias …
Persistent link: https://www.econbiz.de/10005600445
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Who are the value and growth investors?
Betermier, Sebastien; Calvet, Laurent E.; Sodini, Paolo - Center for Financial Studies - 2014
income risk, lower human capital, and are more likely to be female than the average growth investor. Households actively …
Persistent link: https://www.econbiz.de/10010958609
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The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Center for Financial Studies - 2011
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a...
Persistent link: https://www.econbiz.de/10010958793
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Portfolio optimization when risk factors are conditionally varying and heavy tailed
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006
Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal … portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and …-tailedness of risk factors explicitly into account, while retaining analytical tractability and ease of implementation. An …
Persistent link: https://www.econbiz.de/10010958549
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Portfolio Optimization wehn Risk Factors are Conditionally Varying and Heavy Tailed
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006
Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal … portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and …-tailedness of risk factors explicitly into account, while retaining analytical tractability and ease of implementation. An …
Persistent link: https://www.econbiz.de/10005600451
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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
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
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