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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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How to diversify internationally?A comparison of conditional and unconditional asset allocation methods
Barras, Laurent; Isakov, Dusan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
o obtain the maximum benefits from diversification, financial theory suggests that investors should invest …
Persistent link: https://www.econbiz.de/10005859126
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Ratchet vs Blase Investors and Asset Markets
St-Amour, Pascal - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) con-sumption level is a function of wealth. Ratchet effects obtain when higher wealth in-creases the subsistance consumption level; blas´...
Persistent link: https://www.econbiz.de/10005858307
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Model Combination and Stock Return Predictability
Hagmann, Matthias; Loebb, Joachim - Institut für Schweizerisches Bankwesen <Zürich> - 2006
from an investment perspective. …
Persistent link: https://www.econbiz.de/10005858532
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Irreversible Investment in General Equilibrium
Hugonnier, Julien; Morellec, Erwan; Sundaresan, Suresh - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Theories of investment suggest that the option value of waiting to invest is significant in many branches of economics …, where investment is irreversible. The existing literature has generally failed to account for the general equilibrium … theory of lumpy investments and show that such feedback effects can severely erode the option value of waiting even for …
Persistent link: https://www.econbiz.de/10005858793
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Technical Trading Revisited: Persistence Tests, Transaction Costs, and False Discoveries
Bajgrowicz, Pierre; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones index. First, we use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it is more powerful and not restricted only to the best...
Persistent link: https://www.econbiz.de/10005857744
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Geographic versus Industry Diversification : Constraints Matter
Ehling, Paul; Ramos, Sofia B. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
These research addressess whether geographic diserfication provides benefits over industry diversification in a sample of European country and industry indexes.The methodology allows performance comparison with short-slling constraints, upper and lower bounds, and many bechmarks. In the absence...
Persistent link: https://www.econbiz.de/10005857789
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Stock Exchange Competition in a Simple Model of Capital Market Equilibrium
Ramos, Sofia B.; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper uses a simple model of mean-variance asset pricing with transactions costs to analyze one of the main empirical phenomena in stock market competition in the last years, the decrease of transaction costs. We endogenize transactions costs as variables strategically influenced by stock...
Persistent link: https://www.econbiz.de/10005858015
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Financial Integration, Economic Instability And Trade Structure In Emerging Markets
Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich> - 2005
In this study, we first estimate the level of financial integration for twenty five emerging stock markets over the last decade. Using a multivariate GARCH(1,1)-M return generating model allowing for partial market integration as well as for the pricing of systematic emerging market risk, we...
Persistent link: https://www.econbiz.de/10005858763
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On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - Institut für Schweizerisches Bankwesen <Zürich> - 2011
Demand is growing for a better understanding of how assets are priced in countries outside of the U.S.While financial data are available for many firms world-wide, it is important to have a reliable andreplicable method of constructing high-quality systematic risk factors from these data. This...
Persistent link: https://www.econbiz.de/10009249004