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Supply Shocks and the Persistence of Inflation
Sommer, Martin - EconWPA - 2004
This paper examines the long-run effects of supply shocks (such as oil shocks) on inflation in the United States. The … persistence of supply shocks in U.S. inflation fell considerably during the period of Volcker’s disinflation (1979-1982). My … the behavior of inflation expectations - agents expected shocks to persist in the pre-Volcker period, but not in the post …
Persistent link: https://www.econbiz.de/10005561182
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Building a Better Fund of Hedge Funds: A Fractal and Alpha - Stable Distribution Approach
Olszewski, Yan - EconWPA - 2005
Markowitz’s (1952) portfolio theory has permeated financial institutions over the past 50 years. Assuming that returns are normally distributed, Markowitz suggests that portfolio optimization should be performed in a mean-variance framework. With the emergence of hedge funds and their...
Persistent link: https://www.econbiz.de/10005134811
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Do Ads Influence Editors? Advertising and Bias in the Financial Media
Reuter, Jonathan; Zitzewitz, Eric - EconWPA - 2005
We use mutual fund recommendations to test whether editorial content is independent from advertisers’ influence in the financial media. We find that major personal finance magazines (Money, Kiplinger’s Personal Finance, and SmartMoney) are more likely to recommend funds from families that...
Persistent link: https://www.econbiz.de/10005134846
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Relative Performance Evaluation Contracts and Asset Market Equilibrium
Kapur, Sandeep; Timmermann, Allan - EconWPA - 2004
We analyse the equilibrium consequences of performance-based contracts for fund managers. Managerial remuneration is tied to a fund's absolute performance and its performance relative to rival funds. Investors choose whether or not to delegate their investment to better-informed fund managers;...
Persistent link: https://www.econbiz.de/10005561719
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Het integraal kwantificeren van valutarisico’s
Haas, Ralph de - EconWPA - 2002
In dit artikel wordt ingegaan op het statistisch kwantificeren van valutarisico’s met behulp van meervoudige regressie-analyse. Centraal punt van deze methode is dat, teneinde een integrale kwantificering van valutarisico’s te bereiken, zowel het translatierisico als het economisch...
Persistent link: https://www.econbiz.de/10005561738
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Optimization of Risk Exposure
Gretchikha, Alexei - EconWPA - 2002
Risk exposure can be efficiently optimized in practical situations, using a new apporach to identification of investor's risk aversion.
Persistent link: https://www.econbiz.de/10005134885
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DATA MINING SOBRE EL BETA EN ESPAÑA
Rubio, Fernando - EconWPA - 2004
Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM en España. Específicamente, se han realizado variadas simulaciones históricas y regresiones de corte transversal de los retornos de las acciones componentes de la muestra...
Persistent link: https://www.econbiz.de/10005413097
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SECURITIES MARKETS AND SOCIAL CAPITAL INTEGRATION IN AFRICA: RISKS AND POLICY OPTIONS
NWAOBI, GODWIN - EconWPA - 2005
The need to develop securities market has, following the recent international financial crises, increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong interest in ensuring the stable growth of...
Persistent link: https://www.econbiz.de/10005561601
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THE ROLES OF MONEY IN AN ECONOMY AND THE OPTIMUM QUANTITY OF MONEY
Feige, Edgar L.; Parkin, M.; Avery, R; Stones, C. - EconWPA - 2005
What is the optimum quantity of money in a society? This paper answers this question both from the perspective of a utility maximizing model with real balances in the utility function, and employing an inventory theoretic model which focuses attention on the costs of transacting in different...
Persistent link: https://www.econbiz.de/10005076699
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Extracting growth and inflation expectations from financial market data
Kajanoja, Lauri - EconWPA - 2004
This study presents a framework for extracting long-run GDP growth and inflation expectations from financial market … inflation expectations for the euro area and for the United States. …
Persistent link: https://www.econbiz.de/10005126246