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Endogenous Acquisition of Information and The Equity Home Bias
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper investigates the extent to which differences in information costs can explain the equity home bias puzzle. In a model where the cost of acquiring information regarding the Foreign asset is higher than for the Home asset, we show that–if cost functions are convex–the expected size of...
Persistent link: https://www.econbiz.de/10005858507
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Mortality risk and real optimal asset allocation for pension funds
Menoncin, Francesco; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
subscriber. We consider a very general settingwhere there exists a stochastic investment opportunity set together withstochastic … regarding the optimal investment strategy. …
Persistent link: https://www.econbiz.de/10005858365
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Optimal asset management for pension funds
Menoncin, Francesco; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2006
Purpose of this paper: we study the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member. Design/methodology/approach: we apply the stochastic...
Persistent link: https://www.econbiz.de/10005858533
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False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas
Barras, Laurent; Scaillet, Olivier; Wermers, R. - Institut für Schweizerisches Bankwesen <Zürich> - 2008
This paper uses a new approach to determine the fraction of truly skilled managers among the universe of U.S. domestic-equity mutual funds over the 1975 to 2006 period. We develop a simple technique that properly accounts for “false discoveries,” or mutual funds which exhibit significant...
Persistent link: https://www.econbiz.de/10005858726
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Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
allocation during these two phases must be different. In particular, during the first phase the investment in the risky assets … should decrease through time to meet future contractual pension payments while, during the second phase, the risky investment …
Persistent link: https://www.econbiz.de/10005859125
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The Determinants and Earnings Effects of Performance
Henneberger, Fred; Ziegler, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2010
analysis of the base pay and bonus componentsof performance pay workers’ earnings reveals that workers who receive higherbase …
Persistent link: https://www.econbiz.de/10009354139
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Stock Options and Managers Incentives to cheat
Chesney, Marc; Gibson-Asne, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006
We develop a continuous-time real options pricing model to study managers’incentives to cheat in the presence of equity-based compensation policies.We show that managers’ incentives to cheat are strongly influenced by theefficiency of the justice. Our model’s main result is that managers...
Persistent link: https://www.econbiz.de/10005857972
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Why Government Bonds are sold by Auction and Corporate Bonds by Posted-Price Selling
Habib, Michel A.; Ziegler, Alexandre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
When information is costly, a seller may wish to prevent prospective buyers from acquiring information, for the cost of information acquisition is ultimately borne by the seller. A seller can achieve the desired prevention of information acquisition through posted-price selling, by offering...
Persistent link: https://www.econbiz.de/10005858705
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Understanding the Economic Value of Legal Covenants in Investment Contracts : A Real-Options Approach to Venture Equity Contracts
Cossin, Didier; Leleux, Benoit; Saliasi, Entela - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
. Efforts are redirected towards the design of investment contracts which materially skew the distribution of payoffs in favor … of the venture investors. In effect, limitations in valuation abilities are addressed by designing the investment …) of venture cap-ital investment contracts. The impact of the concept for pricing issues, valuation negotiation and for …
Persistent link: https://www.econbiz.de/10005859127
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The Emergence of Information Sharing in Credit Markets
Brown, Martin; Zehnder, Christian - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We examine how asymmetric information and competition in the credit market affect voluntary information sharing between lenders. We study an experimental credit market in which information sharing can help lenders to distinguish goodborrowers from bad ones, because borrowers may exogenously...
Persistent link: https://www.econbiz.de/10005858065