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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

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

Learning the CAPM through Bubbles

Kedar-Levy, Haim - Econometric Society - 2004

Bubbles are generally considered the outcome of investor irrationality or informational asymmetry, both objectionable 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...

Persistent link: https://www.econbiz.de/10005702759

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

Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership

Ehling, Paul - Econometric Society - 2004

in order to be able to purchase the house immediately. However, due to liquidity constraints, which prevent the poor … shown that the poor and liquidity constrained agent does not hold financial assets until the durable is completely acquired …

Persistent link: https://www.econbiz.de/10005328956

Liquidity Discovery and Asset Pricing

Seppi, Duane; Gallmeyer, Michael; Hollifield, Burton - Econometric Society - 2004

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 informed about liquidity risk. Through a process of liquidity discovery …, trading volumes and prices reveal private information about future counter-party preferences. The liquidity discovery process …

Persistent link: https://www.econbiz.de/10005130211

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

Vigneron, Olivier; Gabaix, Xavier; Krishnamurthy, Arvind - Econometric Society - 2004

``Limits of Arbitrage" theories require that the marginal investor in a particular asset market be a specialized arbitrageur. Then the constraints faced by this arbitrageur (i.e. capital constraints) feed through into asset prices. We examine the mortgage-backed securities (MBS) market in this...

Persistent link: https://www.econbiz.de/10005130216

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

The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners

Roca, Eduardo D.; Hatemi-J, Abdulnasser - Econometric Society - 2004

We examine the equity market price interdependence between Australia, on one hand, and Japan, US, UK, Hong Kong, Singapore, Taiwan and Korea, on the other hand, based on Hacker and Hatemi-J (2003) bootstrap causality tests with leveraged adjustments. We cover the period January 1, 1993 to...

Persistent link: https://www.econbiz.de/10005063637

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