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Optimal Decision Making under Time Diversification

Vanini, Paolo; Vignola, Luigi - Institut für Schweizerisches Bankwesen <Zürich>; … - 2001

One of the most enduring questions in finance is the persistence of investment risk across time. Traditional finance lacks of recipes on how to approach and how to hedge non-diversifiable risks. Risks that can not be diversified at a given point in time can nevertheless be averaged over time...

Persistent link: https://www.econbiz.de/10005858938

The Performance of Groups and Individuals in Financial Decision-Making

Gort, Christoph; Gerber, Anke - Institut für Schweizerisches Bankwesen <Zürich> - 2008

On financial markets many investment decisions are taken by groups and not by individuals. The evidence, however, whether groups better than individuals, is ambigous. We analyze the portfolios of groups and individuals in an asset allocation task on an experimental market. We find that groups on...

Persistent link: https://www.econbiz.de/10005857732

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Our objective is to identify the trading strategy that would allow an investor to take advantage of excessive stock price volatility and sentiment ﬂuctuations. We construct a general-equilibrium model of sentiment. In it, there are two classes of agents and stock prices are excessively...

Persistent link: https://www.econbiz.de/10005857774

The impact of heterogeneous beliefs on trading volume

Bauer, Wolfgang - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...

Persistent link: https://www.econbiz.de/10005857971

Reputation and Credit Market Formation

Fehr, Ernst; Zehnder, Christian - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

existence and performance of credit markets. In theabsence of any third party enforcement of debt repayment the contracting …

Persistent link: https://www.econbiz.de/10005857994

Agency problems and endogenous economic fluctuations

Favara, Giovanni - Institut für Schweizerisches Bankwesen <Zürich> - 2006

productivity. This initiative-control trade-off generates investment dynamics that mimic those of a standard credit frictions model …

Persistent link: https://www.econbiz.de/10005858058

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 … information in the credit market increases information sharing behavior signiﬁcantly. Stronger competition between lenders reduces …

Persistent link: https://www.econbiz.de/10005858065

Interpretable Asset Markets?

Bansal, Ravi; Khatchatrian, Varoujan; Yaron, Amir - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In this paper we show that measures of economic uncertainty (conditional volatilityof consumption) predict and are predicted by valuation ratios at long horizons. Furtherwe document that asset valuations drop as economic uncertainty rises that is,ﬁnancial markets dislike economic...

Persistent link: https://www.econbiz.de/10005858313

Limits to Arbitrage when Market Participation Is Restricted

Hens, Thorsten; Heringsy, Jean-Jacques; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

There is an extensive literature claiming that it is often difficultto make use of arbitrage opportunities in ﬁnancial markets. Thispaper provides a new reason why existing arbitrage opportunitiesmight not be seized. We consider a world with short-lived securities,no short-selling constraints...

Persistent link: https://www.econbiz.de/10005858363

Predictability in Financial Markets: What Do Survey Expectations Tell Us?

Bacchetta, Philippe; Mertens, Elmar; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2006

There is widespread evidence of excess return predictability in financial markets. In this paper we examine whether this predictability is related to expectational errors. To consider this issue, we use data on survey expectations of market participants in the stock market, the foreign exchange...

Persistent link: https://www.econbiz.de/10005858391