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Safe Assets
Barro, Robert J. - 2014
A safe asset's real value is insulated from shocks, including declines in GDP from rare macroeconomic disasters. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of safe assets. Therefore, in the equilibrium of a...
Persistent link: https://www.econbiz.de/10012458013
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Conflict and Deterrence under Strategic Risk
Chassang, Sylvain - 2008
We examine the mechanics of deterrence and intervention when fear is a motive for conflict. We contrast results obtained in a complete information setting, where coordination is easy, to those obtained in a setting with strategic risk, where players have different assessments of their...
Persistent link: https://www.econbiz.de/10012464685
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Changing the Boston School Choice Mechanism
Abdulkadiroglu, Atila - 2006
previous Boston mechanism, a priority matching mechanism, and the case in favor of the change to a strategy-proof mechanism … unassigned students could have been assigned to one of their stated choices with a different strategy under the current mechanism …. This interaction between sophisticated and unsophisticated players identifies a new rationale for strategy-proof mechanisms …
Persistent link: https://www.econbiz.de/10012466706
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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2014
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...
Persistent link: https://www.econbiz.de/10012457922
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Effective Monetary Policy Strategies in New Keynesian Models : A Re-examination
Chung, Hess - 2014
strategy are common across the two models: In particular, highly inertial interest rate rules that respond to nominal income or …
Persistent link: https://www.econbiz.de/10012458054
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Understanding Defensive Equity
Novy-Marx, Robert - 2014
the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy …
Persistent link: https://www.econbiz.de/10012458074
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Strategic Trading in Informationally Complex Environments
Lambert, Nicolas S. - 2014
We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the value of...
Persistent link: https://www.econbiz.de/10012458151
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Momentum Crashes
Daniel, Kent - 2014
option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and … variance approximately doubles the alpha and Sharpe Ratio of a static momentum strategy, and is not explained by other factors …
Persistent link: https://www.econbiz.de/10012458228
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Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy
Chien, YiLi - 2014
This paper extends the methodology developed in Chien, Cole and Lustig (2011 & 2012) (hereafter CCL2011 and CCL2012, respectively) to analyze and compute the equilibria of economies with heterogeneous agents who have different asset trading technologies and are subject to both aggregate and...
Persistent link: https://www.econbiz.de/10012458339
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Financial vs. Strategic Buyers
Martos-Vila, Marc - 2013
This paper introduces the impact of debt misvaluation on merger and acquisition activity. Debt misvaluation helps explain the shifting dominance of financial acquirers (private equity firms) relative to strategic acquirers (operating companies). The effects of overvalued debt might seem limited...
Persistent link: https://www.econbiz.de/10012459283