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Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management
Shapiro, Alex; Basak, Suleyman; Pavlova, Anna - Econometric Society - 2004
Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk...
Persistent link: https://www.econbiz.de/10005699668
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The Equity Premium and the Baby Boom
Brooks, Robin - Econometric Society - 2004
This paper explores the quantitative impact of the Baby Boom on stock and bond returns. It constructs a neoclassical growth model with overlapping generations, in which agents make a portfolio decision over risky capital and safe bonds in zero net supply. The model has exogenous technology and...
Persistent link: https://www.econbiz.de/10005328938
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Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership
Ehling, Paul - Econometric Society - 2004
In this article we construct a model in which agents exhibit preference for ownership with respect to a durable (house). Ownership is modeled as a continuous function of debt service normalized by the price of the house. We study the utility optimization problem of an investor not endowed with...
Persistent link: https://www.econbiz.de/10005328956
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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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Ignorance, Fixed Costs, and the Stock Market Participation Puzzle
Naudon, Alberto; Tapia, Matías - Econometric Society - 2004
-premium involved-, most motivations of these fixed costs are as incompatible with conventional portfolio theory as the non … alternatives to conventional portfolio theory. We find in Choquet expected utility theory a tool that is better equipped to deal …
Persistent link: https://www.econbiz.de/10005699623
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Learning the CAPM through Bubbles
Kedar-Levy, Haim - Econometric Society - 2004
in efficient markets with rational investors. We introduce an Intertemporal-CAPM with market clearing between high- and … low-risk-averse rational investors who learn the CAPM under incomplete, yet symmetric information. Periodic equilibrium … prices make a lognormal price process that nests the classic CAPM with a potential for endogenous bubbles through learning …
Persistent link: https://www.econbiz.de/10005702759
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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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Advances in economics and econometrics ; Vol. 3
Dewatripont, Mathias (contributor);  … - 2003
Persistent link: https://www.econbiz.de/10001742594