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The Robustness of the CAPM - A Computational Approach

Herings, P.J.J.; Kubler, F. - Tilburg University, Center for Economic Research - 1999

CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns … preferences, endowments and dividends and compare the equilibrium prices and portfolio-holdings to the predictions of the CAPM …. While the CAPM does not hold exactly for the chosen specification, it turns out that pricing errors are extremely small …

Persistent link: https://www.econbiz.de/10011092773

Existence of Equilibrium and Price Adjustments in a Finance Economy with Incomplete Markets

Talman, Dolf; Thijssen, J.J.J. - Tilburg University, Center for Economic Research - 2003

In this paper, several problem reduction techniques are discussed that can be used to reduce the solution time of set partitioning problems. These techniques can be applied in any solution algorithm for set partitioning problems. Besides a short review of the existing literature on preprocessing...

Persistent link: https://www.econbiz.de/10011092120

Testing Affine Term Structure Models in Case of Transaction Costs

Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - Tilburg University, Center for Economic Research - 1999

In this paper we empirically analyze the impact of transaction costs on the performance of affine interest rate models. We test the implied (no arbitrage) Euler restrictions, and we calculate the specification error bound of Hansen and Jagannathan to measure the extent to which a model is...

Persistent link: https://www.econbiz.de/10011091459

Labor Income and the Demand for Long-term Bonds

Nijman, Theo; Werker, Bas J.M.; Koijen, R.S.J. - Tilburg University, Center for Economic Research - 2005

The riskless nature in real terms of inflation-linked bonds has led to the conclusion that inflation-linked bonds should constitute a substantial part of the optimal investment portfolio of long-term investors.This conclusion is reached in models where investors do not receive labor income...

Persistent link: https://www.econbiz.de/10011092730

Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds

Renneboog, Luc; Palomino, F.A.; Zhang, C. - Tilburg University, Center for Economic Research - 2005

Stock markets and betting markets co-exist for professional soccer clubs listed on the London Stock Exchange.For each firm, two pieces of information are released to the stock market on a weekly basis from August to June: experts expectations about game outcomes through the betting odds, and the...

Persistent link: https://www.econbiz.de/10011092755

Hard Assets : The Returns on Rare Diamonds and Gems

Renneboog, Luc; Spaenjers, C. - Tilburg University, Center for Economic Research - 2011

This paper examines the investment performance of diamonds and other gems (sapphires, rubies, and emeralds) over the period 1999-2010, using a novel data set of auction transactions. Between 1999 and 2010, the annualized real USD returns for white and colored diamonds equaled 6.4% and 2.9%,...

Persistent link: https://www.econbiz.de/10011091097

The Returns on Investment Grade Diamonds

Renneboog, Luc - Tilburg University, Center for Economic Research - 2013

Abstract: This paper examines the risk-return characteristics of investment grade gems (white diamonds, colored diamonds and other types of gems including sapphires, rubies, and emeralds). The transactions are coming from gem auctions and span the period 1999-2012. Over our time frame, the...

Persistent link: https://www.econbiz.de/10011091121

Socially Responsible Investments : Methodology, Risk and Performance

Renneboog, Luc; ter Horst, Jenke; Zhang, C. - Tilburg University, Center for Economic Research - 2007

This paper surveys the literature on socially responsible investments (SRI). Over the past decade, SRI has experienced an explosive growth around the world. Particular to the SRI funds is that both financial goals and social objectives are pursued. While corporate social responsibility (CSR) -...

Persistent link: https://www.econbiz.de/10011091820

Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance

ter Horst, Jenke; Baquero, G.; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 2002

Hedge funds databases are typicall subject to high attrition rates because of fund termination and self-selection.Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases affect standard estimates of performance persistence.In this...

Persistent link: https://www.econbiz.de/10011092451

A Note on "Stability of Tâtonnement Processes of Short Period Equilibria with Rational Expectations"

Herings, P.J.J. - Tilburg University, Center for Economic Research - 1997

In Hens (1997), a new adjustment process is proposed for a setting with reopening spot and asset markets. He argues by means of an intemporal variant of Scarf's example that this process is more stable than the other processes, although in general it might be more stable or less stable. This...

Persistent link: https://www.econbiz.de/10011090350

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