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Galton's Error and the Under-Representation of Systematic Risk
LOS, CORNELIS A. - EconWPA - 2004
their relative systematic market risk, or 'betas,' to potential investors based on incomplete measurement by unidirectional … bivariate projections: they commit Galton's Error by under-representing their systematic risk. Consequently, far too many mutual … (18.9%) actually are. This under-representation of systematic risk leads to inefficiencies in the capital allocation …
Persistent link: https://www.econbiz.de/10005134709
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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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When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!
Los, Cornelis A. - EconWPA - 2004
Portfolio diversification may not always lower the portfolio risk, but may actually increase it. It depends on the long memory and distributional stability characteristics of the underlying rates of return. This disturbing result is based on the theoretical Fama- Samuelson proposition of...
Persistent link: https://www.econbiz.de/10005413142
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The 1998 Third Annual Survey of Risk Management Practices of Unit Trusts in Singapore
LOS, CORNELIS A. - EconWPA - 2004
Liberalization of Singapore's financial sector causes its fund management industry to expand rapidly. As of December 1, 1998 there were 191 unit trusts to choose from. Eventually, Singapore, like the USA and Hong Kong, will have more unit trusts than stocks listed on its exchange. Many...
Persistent link: https://www.econbiz.de/10005076989
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Realized Volatility and Asymmetries in the A.S.E. Returns
Thomakos, Dimitrios D.; Koubouros, Michail S. - EconWPA - 2005
Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series properties of the realized volatility series and on...
Persistent link: https://www.econbiz.de/10005077019
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LA ESTRATEGIA DE CITICORP EN CHILE. Capitulo 3. EL MERCADO FINANCIERO CHILENO
Rubio, Fernando - EconWPA - 2004
Esta es la tercera parte de una serie que forman una investigación más amplia titulada “La Estrategia de Citicorp en Chile: Un Intento de Investigación”. Aquí se describe la naturaleza, reglamentación, estado actual y perspectivas de más de los 25 segmentos del mercado financiero...
Persistent link: https://www.econbiz.de/10005125052
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THE BEQUEST MOTIVE AND SINGLE PEOPLE’S DEMAND FOR LIFE ANNUITIES
VIDAL-MELIA, CARLOS; LEJÁRRAGA-GARCÍA, ANA - EconWPA - 2004
The main objective of this paper is to go deeper into the “annuity puzzle” by introducing the altruistic and strategic bequest motive and determining whether this really is a relevant factor affecting the theoretical decision to purchase life annuities. With this end in view we develop an...
Persistent link: https://www.econbiz.de/10005125995
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Sviluppo e riforme in Cile: apertura commerciale, fondi pensione e privatizzazione dei servizi/REFORMS AND DEVELOPMENT IN CHILE: Macro considerations on Int'l Trade, Pension Funds...
Panizza, Andrea de - EconWPA - 2003
This paper examines the growth pattern followed by the Chilean economy with reference to the macroeconomic reforms undertaken during the Pinochet regime, which were largely maintained by successive democratic administrations and partially reproduced by neighbouring countries. The focus is on the...
Persistent link: https://www.econbiz.de/10005126348
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Mutual Fund Growth in Standard and Specialist Market Segments
Ruenzi, Stefan - EconWPA - 2004
We examine differences in the performance flow relationship (PFR) between different segments of the fund industry. Such differences can be caused by distinct mutual fund investors’ characteristics in different segments. In our empirical study of the US equity mutual fund industry in 1993-2001,...
Persistent link: https://www.econbiz.de/10005134788
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INDIAN VENTURE CAPITALISTS (VCs) INVESTMENT EVALUATION CRITERIA
Mishra, Asim - EconWPA - 2005
The Venture capital (VC) industry in India is of recent origin. However, the average investment value of each deal in India have grown from $3.85 million in 2000 to $7.89 million in 2001.These developments together with the recent steps taken by government to promote venture capitalism in India...
Persistent link: https://www.econbiz.de/10005134795