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Strategic investment, industry concentration and the cross section of returns

Bustamante, Maria Cecilia - London School of Economics (LSE) - 2011

This paper provides an alternative real options framework to assess how firms' strategic interaction under imperfect competition a¤ects the industrial dynamics of investment, concentration, and expected returns. When firms have similar production technologies, the cross sectional variation in...

Persistent link: https://www.econbiz.de/10011071300

Rational trader risk

Kondor, Peter - London School of Economics (LSE) - 2004

Allowing for a richer information structure than usual, we show that rational traders’ calculation with short-term price fluctuations may heavily influence their behaviour even if the interim price is not influenced by non-rational agents i.e. there is no noise trader risk. Instead, traders...

Persistent link: https://www.econbiz.de/10010884635

Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility

Cakmakli, Cem; Dijk, Dick van - Tinbergen Institute - 2010

models improve upon both benchmark models that only include valuation ratios and interest rate related variables, and …

Persistent link: https://www.econbiz.de/10008740266

Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies

Zou, Liang - Tinbergen Institute - 2000

security markets. Issues concerning individual optimality, (approximate) arbitrage, capital market equilibrium, and Pareto …

Persistent link: https://www.econbiz.de/10005137030

Portfolio choice beyond the traditional approach

Penaranda, Francisco - London School of Economics (LSE) - 2007

This paper surveys asset allocation methods that extend the traditional approach. An important feature of the traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there are also other important features that are not always...

Persistent link: https://www.econbiz.de/10010745189

The international diversification puzzle is not worse than you think

Julliard, Christian - London School of Economics (LSE) - 2002

This paper offers two main contributions. First, it shows how the Baxter and Jermann (1997) claim that, once we consider human capital risk, the international diversification puzzle is worse than we think, is based on an econometric misspecification rejected by the data. Second, it outlines how,...

Persistent link: https://www.econbiz.de/10010746135

Rational asset pricing implications from realistic trading frictions

Zigrand, Jean-Pierre - London School of Economics (LSE) - 2002

it is shown that arbitrage opportunities occur which could not have occured in a standard model. A certain and precise … degree of informativeness of prices to the traders is lost because the decision making process becomes endogenously segmented … and decentralized within the same decision making entity (distinct "trading desks"). It is shown that, compared to the …

Persistent link: https://www.econbiz.de/10010746573

Optimal expectations

Brunnermeier, Markus K.; Parker, Jonathan A. - London School of Economics (LSE) - 2002

the other hand, expectations that are biased towards optimism worsen decision making, leading to poorer realized outcomes …

Persistent link: https://www.econbiz.de/10010746723

Pensions, Debt and Inflation Risk in a Monetary Union

Adema, Yvonne - Tinbergen Institute - 2010

This paper investigates the international spillovers of government debt and the associated risk of inflation within a monetary union when countries have different pension systems. I use a stochastic two-country two-period overlapping-generations model, where one country has PAYG pensions and the...

Persistent link: https://www.econbiz.de/10008838553

Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?

Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - Tinbergen Institute - 2010

We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...

Persistent link: https://www.econbiz.de/10008838610

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