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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

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

Collateral requirements and asset prices

Brumm, Johannes; Grill, Michael; Kubler, Felix; … - Deutsche Bundesbank - 2013

Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral...

Persistent link: https://www.econbiz.de/10010957121

Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators

Uhlenbrock, Birgit - Deutsche Bundesbank - 2009

Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

Persistent link: https://www.econbiz.de/10005082768

The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany

Fecht, Falko; Wedow, Michael - Deutsche Bundesbank - 2009

We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...

Persistent link: https://www.econbiz.de/10008533497

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

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

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

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

Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world

Lleo, Sebastien; Ziemba, Bill - London School of Economics (LSE) - 2014

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...

Persistent link: https://www.econbiz.de/10011170088

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