Similar Search Results

Firms vs. insiders as traders of last resort

Marín, José M.; Sureda-Gomila, Antoni - Department of Economics and Business, Universitat … - 2006

trading in which insiders provide price support, as well as liquidity, in security markets. Consistent with the model …

Persistent link: https://www.econbiz.de/10005772333

Portfolio choice and the effects of liquidity

González, Ana; Rubio, Gonzalo - Department of Economics and Business, Universitat … - 2007

This paper shows how to introduce liquidity into the well known mean-variance framework of portfolio selection. Either … by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for alternative … levels of risk aversion and preference for liquidity, we obtain strong effects of liquidity on optimal portfolio selection …

Persistent link: https://www.econbiz.de/10005707977

Credit derivatives in emerging markets

Rancière, Romain - Department of Economics and Business, Universitat … - 2002

Credit Derivatives are securities that offer protection against credit or default risk of bonds or loans. The credit derivatives emerging market has grown rapidly and credit derivatives are widely used. This paper describes the emerging credit derivatives market structure. The current market...

Persistent link: https://www.econbiz.de/10005772228

Demand for private health insurance: Is there a quality gap?

Costa, Joan; Garcia, Jaume - Department of Economics and Business, Universitat … - 2001

Quality of care is qualified as a main determinant of the demand for voluntary private health insurance (PHI) in National Health Systems (NHS). This paper provides new evidence on the influence of the quality gap between public and private health insurance and other demand determinants in the...

Persistent link: https://www.econbiz.de/10005772379

Demand for private health insurance: Is there a quality gap?

Costa, Joan; Garcia, Jaume - Department of Economics and Business, Universitat … - 2001

Persistent link: https://www.econbiz.de/10005248448

Understanding portfolio efficiency with conditioning information

Peñaranda, Francisco - Department of Economics and Business, Universitat … - 2009

We show that unconditionally efficient returns do not achieve the maximum unconditional Sharpe ratio, neither display zero unconditional Jensen’s alphas, when returns are predictable. Next, we define a new type of efficient returns that is characterized by those unconditional properties. We...

Persistent link: https://www.econbiz.de/10005827435

A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks

Bertail, Patrice; Haefke, Christian; Politis, Dimitris N.; … - Department of Economics and Business, Universitat … - 2001

In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known rates when the underlying time series in strictly stationary abd strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with...

Persistent link: https://www.econbiz.de/10005827491

Improved estimation of the covariance matrix of stock returns with an application to portofolio selection

Ledoit, Olivier; Wolf, Michael - Department of Economics and Business, Universitat … - 2001

This paper proposes to estimate the covariance matrix of stock returns by an optimally weighted average of two existing estimators: the sample covariance matrix and single-index covariance matrix. This method is generally known as shrinkage, and it is standard in decision theory and in empirical...

Persistent link: https://www.econbiz.de/10005827499

Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach

Peñaranda, Francisco; Sentana, Enrique - Department of Economics and Business, Universitat … - 2008

We propose new spanning tests that assess if the initial and additional assets share the economically meaningful cost and mean representing portfolios. We prove their asymptotic equivalence to existing tests under local alternatives. We also show that unlike two-step or iterated procedures,...

Persistent link: https://www.econbiz.de/10005827516

Cognitive bubbles

Bosch-Rosa, Ciril; Meissner, Thomas; Bosch-Domènech, Antoni - Department of Economics and Business, Universitat … - 2015

Smith et al. (1988) reported large bubbles and crashes in experimental asset markets, a result that has been replicated by a large literature. Here we test whether the occurrence of bubbles depends on the experimental subjects' cognitive sophistication. In a two-part experiment, we first run a...

Persistent link: https://www.econbiz.de/10011127588