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The Markovian Dynamics of "Smart Money"
Yang, J-H Steffi - Econometric Society - 2004
I develop a Markov model of samrt money chasing past winning funds while taking into account associated costs. The model also allows market capital entry and exit. The steady-state capital allocations re derived using constant transition probabilities. The results sugget that down side risk is...
Persistent link: https://www.econbiz.de/10005086415
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HERD BEHAVIOR IN THE JAPANESE LOAN MARKET: EVIDENCE FROM BANK PANEL DATA
Nakagawa, Ryuichi; Uchida, Hirofumi - Econometric Society - 2004
This paper investigates whether Japanese banks had been following herd behavior in the domestic loan market from 1975 …. Consistent herding during the entire sample period is observed among regional banks, whereas city banks had been following a … from rational or institutional factors, we still observe herding for regional banks in the entire period, whereas herding …
Persistent link: https://www.econbiz.de/10005130235
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Herd Behavior in the Japanese Loan Market: Evidence from Bank Panel Data
Nakagawa, Ryuichi; Uchida, Hirofumi - Econometric Society - 2004
This paper investigates whether Japanese banks had been following herd behavior in the domestic loan market from 1975 …. Consistent herding during the entire sample period is observed among regional banks, whereas city banks had been following a … from rational or institutional factors, we still observe herding for regional banks in the entire period, whereas herding …
Persistent link: https://www.econbiz.de/10005702567
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Testing Asset Pricing Model with Coskweness
Urga, Giovanni; Adesi, Giovanni Barone; Gagliardini, Patrick - Econometric Society - 2004
In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...
Persistent link: https://www.econbiz.de/10005328981
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Do Heterogeneous Beliefs Matter for Asset Pricing?
Juergens, Jennifer; Anderson, Evan; Ghysels, Eric - Econometric Society - 2004
We study how heterogeneous beliefs affect returns and examine whether heterogeneous beliefs are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected (short-term and long-term)...
Persistent link: https://www.econbiz.de/10005342284
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Liquidity Discovery and Asset Pricing
Seppi, Duane; Gallmeyer, Michael; Hollifield, Burton - Econometric Society - 2004
Most investors purchase securities knowing they will resell those securities in the future. Uncertainty about the preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural to suppose that investors are asymmetrically...
Persistent link: https://www.econbiz.de/10005130211
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PORTAFOLIOS ÓPTIMOS PARA LOS NUEVOS SISTEMAS DE PENSIONES DE PAÃSES EMERGENTES
Walker, Eduardo - Econometric Society - 2004
Se estudia asignaciones óptimas de clases de activo (Asset Allocation) para afiliados representativos a las AFP con diferentes plazos para jubilar. Se supone que el afiliado desearía maximizar su pensión esperada al momento de jubilar, dado un nivel de riesgo. Entonces, la pregunta es qué...
Persistent link: https://www.econbiz.de/10005063548
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That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds
Thorp, Susan - Econometric Society - 2004
Surveys of Australian superannuation funds verify that most international bond holdings, but not equity holdings, are hedged for currency risk. We compare the mean-variance efficiency of this practice with two alternative strategies: a conventional forward hedge; and a selective hedge triggered...
Persistent link: https://www.econbiz.de/10005063662
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Expiration Day Effect in Korean Stock Market: Wag the Dog?
Park, Chang-Gyun; Lim, Kyung-Mook - Econometric Society - 2004
Despite the great success of the derivatives market, several concerns were expressed regarding the additional volatility stemming from program trading during the expiration of derivatives. This paper examines the impact of the expiration of the KOSPI 200 index derivatives on cash market of Korea...
Persistent link: https://www.econbiz.de/10005702728
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Relationship Banking in Bilateral Oligopoly and Asymmetric Information
Chang, Yoonhee Tina - Econometric Society - 2004
subsequently affects their relationship banks. The paper analyses the information sharing in a bilateral oligopoly framework. When … banks prefer strong collaterals and/or credible third party repayment guarantees, a weaker vertical relationship in the real …
Persistent link: https://www.econbiz.de/10005342309