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Liability Driven Investments under a Benchmark Based Approach

Baldeaux, Jan; Platen, Eckhard - Finance Discipline Group, Business School - 2013

In this paper, we present an alternative approach as a suitable framework under which liability driven investments can be valued and hedged. This benchmark approach values both assets and liabilities consistently under the real world probability measure using the best performing portfolio, the...

Persistent link: https://www.econbiz.de/10010883496

Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500

Chiarella, Carl; He, Xue-Zhong; Zwinkels, Remco C.J. - Finance Discipline Group, Business School - 2014

This paper empirically assesses heterogeneous expectations in asset pricing. We use a maximum likelihood approach on S&P500 data to estimate a structural model. Our empirical results are consistent with a market populated with fundamentalists and chartists. In addition, agents switch between...

Persistent link: https://www.econbiz.de/10010883504

The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?

Bird, Ron; Reddy, Krishna; Yeung, Danny - Finance Discipline Group, Business School - 2011

Numerous empirical studies dating back to Ball and Brown (1968) have investigated how markets react to the receipt of new information. However, it is only recently that authors have focussed on differentiating between, and learning from, how investors react to good and bad news. In this paper we...

Persistent link: https://www.econbiz.de/10009493157

Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework

Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - Finance Discipline Group, Business School - 2005

Following the framework of a one risky - one riskless asset model developed by Brock and Hommes (1998), this paper considers a discrete-time model of a financial market where heterogeneous groups of agents allocate their wealth amongst multiple risky assets and a riskless asset. Agents follow...

Persistent link: https://www.econbiz.de/10004984536

Hedging for the Long Run

Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008

fulfils a minimal no-arbitrage condition for an economically viable financial market. Furthermore, we demonstrate that … illustrating and clarifying several points on asset price bubbles and the economics of arbitrage. …

Persistent link: https://www.econbiz.de/10004984487

Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model

Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2001

, payoffs can be perfectly hedged using self-financing strategies and a form of arbitrage still exists. This is illustrated by …

Persistent link: https://www.econbiz.de/10004984588

Do Ex-Dividend Drop-Offs Differ Across Markets? Evidence from Internationally Traded (ADR) Stocks

Alaganar, VT; Partington, Graham; Stevenson, Max - Finance Discipline Group, Business School - 1999

availability of imputation tax credits to Australian resident investors. Valuation differences across markets present an arbitrage … opportunity, but we hypothesize that transactions costs and risk will inhibit arbitrage and that the valuation difference will … underlying Australian stocks. An expected source of difference in the valuation of dividends, and hence in the drop-offs, is the …

Persistent link: https://www.econbiz.de/10005027644

Panel Smooth Transition Regression Models

Gonzalez, Andres; Terasvirta, Timo; Dijk, Dick van - Finance Discipline Group, Business School - 2005

We develop a non-dynamic panel smooth transition regression model with fixed individual effects. The model is useful for describing heterogenous panels, with regression coefficients that vary across individuals and over time. Heterogeneity is allowed for by assuming that these coefficients are...

Persistent link: https://www.econbiz.de/10005112870

Safe Haven Assets and Investor Behavior Under Uncertainty

Baur, Dirk G; McDermott, Thomas K.J. - Finance Discipline Group, Business School - 2012

We study two different safe haven assets, US government bonds and gold, and examine how the price changes of these assets can be used to infer investor behavior under uncertainty. We find that investors are ambiguity-averse, that is they buy gold when faced with extreme uncertainty about the...

Persistent link: https://www.econbiz.de/10010883510

Performance Implications of Active Management of Institutional Mutual Funds

Bird, Ron; Pellizzari, Paolo; Yeung, Danny - Finance Discipline Group, Business School - 2011

Although mutual fund performance has been dissected from almost every angle, very little attention has been paid to the connection between the actual active decisions made by management and the subsequent performance outcomes. In this paper we use information on institutional mutual funds to...

Persistent link: https://www.econbiz.de/10009493156