Narrow search
Showing 1 - 10 of 253
Cover Image
Tracking Biased Weights : Asset Pricing Implications of Value-Weighted Indexing
Jiang, Hao - 2020
We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index … disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index … portfolio. This finding runs counter to the CAPM, and arises when noise traders distort prices, biasing index weights. When …
Persistent link: https://www.econbiz.de/10012482472
Cover Image
Handbuch Bankenaufsicht und interne Risikosteuerungsmodelle : Quantifizierung und Analyse von Risiken mit bankinternen Modellen, bankaufsichtliche Anforderungen
Eller, Roland (ed.); Gruber, Walter (ed.); Reif, Markus (ed.) - 1999 - 1. Auflage
Persistent link: https://www.econbiz.de/10001379221
Cover Image
Emotions and Subjective Crash Beliefs
Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2024
Over the past two decades, respondents to the Shiller Investor Confidence Surveys assess the probability of a catastrophic stock market crash to be much higher that the historical frequency of such events. We decompose these crash probabilities into fundamental and subjective components and use...
Persistent link: https://www.econbiz.de/10014576618
Cover Image
A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1
Basak, Gopal K. - 2004
We develop a jackknife estimator for the conditional variance of a minimum-tracking- error-variance portfolio constructed using estimated covariances. We empirically evaluate the performance of our estimator using an optimal portfolio of 200 stocks that has the lowest tracking error with respect...
Persistent link: https://www.econbiz.de/10012468246
Cover Image
Portfolio dominance, lower conditional expectation and the monotone likelihood ratio order
Gollier, Christian - 1993
Persistent link: https://www.econbiz.de/10000881650
Cover Image
Partial- vs general-equilibrium models of the international capital market
Dumas, Bernard - 1993
Persistent link: https://www.econbiz.de/10000881671
Cover Image
Financial modeling
Ernst, Dietmar; Häcker, Joachim; Bloss, Michael; … - 2016 - 2., überarbeitete und erweiterte Auflage
Persistent link: https://www.econbiz.de/10011391334
Cover Image
Investment- und Risikomanagement : Modelle, Methoden, Anwendungen
Albrecht, Peter; Maurer, Raimond - 2016 - 4., überarbeitete Auflage
Persistent link: https://www.econbiz.de/10011405931
Cover Image
Country Portfolios
Kraay, Aart - 2000
How do countries hold their financial wealth? We construct a new database of countries' claims on capital located at home and abroad, and international borrowing and lending, covering 68 countries from 1966 to 1997. We find that a small amount of capital flows from rich countries to poor...
Persistent link: https://www.econbiz.de/10012470955
Cover Image
Why Stocks May Disappoint
Ang, Andrew - 2000
Recently much progress has been made in developing optimal portfolio choice models accomodating time-varying opportunity sets, but unless investors are unreasonably risk averse, optimal holdings include unreasonably large equity positions. One reason is that most studies assume investors behave...
Persistent link: https://www.econbiz.de/10012470967