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Momentum Trading, Return Chasing, and Predictable Crashes

Ghysels, Eric; Jagannathan, Ravi; Chabot, Benjamin - National Bureau of Economic Research (NBER) - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and … earned abnormally high risk-adjusted returns — a three factor alpha of 1 percent per month between 1927 and 2012 and 0 … remain invested in momentum even when the crash risk is known to be high when (1) he competes for funds from return …

Persistent link: https://www.econbiz.de/10011096567

Does Finance Benefit Society?

Zingales, Luigi - National Bureau of Economic Research (NBER) - 2015

Academics’ view of the benefits of finance vastly exceeds societal perception. This dissonance is at least partly explained by an under-appreciation by academia of how, without proper rules, finance can easily degenerate into a rent-seeking activity. I outline what finance academics can do,...

Persistent link: https://www.econbiz.de/10011159882

Do Private Equity Managers Earn Their Fees? Compensation, Ownership, and Cash Flow Performance

Robinson, David T.; Sensoy, Berk A. - National Bureau of Economic Research (NBER) - 2012

We study the relation between compensation practices, incentives, and performance in private equity using new data that connect ownership structures, management contracts, and quarterly cash flows for a large sample of buyout and venture capital funds from 1984-2010. Although many critics of...

Persistent link: https://www.econbiz.de/10011188572

Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy

Mehra, Rajnish - National Bureau of Economic Research (NBER) - 2013

This paper illustrates that evaluating alternate abatement polices that affect the growth path of an economy on the basis of their effects on asset valuation may not be welfare enhancing. We show that the class of abatement polices considered in the integrated assessment literature are robust...

Persistent link: https://www.econbiz.de/10010821892

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Collin-Dufresne, Pierre; Johannes, Michael; Lochstoer, … - National Bureau of Economic Research (NBER) - 2013

Parameter learning strongly amplifies the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks. We consider general equilibrium models...

Persistent link: https://www.econbiz.de/10010821954

The Financialization of Commodity Markets

Xiong, Wei; Cheng, Ing-Haw - National Bureau of Economic Research (NBER) - 2013

financial investors affect risk sharing and information discovery in commodity markets. We argue that financialization has …

Persistent link: https://www.econbiz.de/10010796590

Uncertainty Outside and Inside Economic Models

Hansen, Lars Peter - National Bureau of Economic Research (NBER) - 2014

We must infer what the future situation would be without our interference, and what changes will be wrought by our actions. Fortunately, or unfortunately, none of these processes is infallible, or indeed ever accurate and complete. Knight (1921)

Persistent link: https://www.econbiz.de/10010890111

Financial Development in 205 Economies, 1960 to 2010

Demirguc-Kunt, Asli; Levine, Ross; Čihák, Martin; … - National Bureau of Economic Research (NBER) - 2013

This paper describes our construction of the Global Financial Development Database and uses the data to compare financial systems around the world. The database provides information on financial systems in 205 economies over the period from 1960 to 2010 and includes measures of (1) size of...

Persistent link: https://www.econbiz.de/10010969344

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - National Bureau of Economic Research (NBER) - 2014

We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect …, our model generates rich links between liquidity risk and default risk. The introduction of macroeconomic risks helps the … model capture realistic time variation in default risk premia and the default-liquidity spiral over the business cycle …

Persistent link: https://www.econbiz.de/10010969437

Learning Millennial-Style

Carlin, Bruce I.; Jiang, Li; Spiller, Stephen A. - National Bureau of Economic Research (NBER) - 2014

The growing use of on-line educational content and related video services has changed the way people access education, share knowledge, and possibly make life decisions. In this paper, we characterize how video content affects individual decision-making and willingness to share in the context of...

Persistent link: https://www.econbiz.de/10010950669