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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

-Pacific strongly underperform benchmark portfolios. Finally, the volatility of money-flows is lower in SRI funds than of conventional …

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

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

The Robustness of the CAPM - A Computational Approach

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

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically...

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

Performance of Delta-hedging strategies in interval models - A robustness study

Engwerda, Jacob; Schumacher, Johannes M.; Roorda, B. - Tilburg University, Center for Economic Research - 1999

Persistent link: https://www.econbiz.de/10011092341

Estimating short-run persistence in mutual fund performance

ter Horst, Jenke; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 1997

Persistent link: https://www.econbiz.de/10011092210

Ambiguity and Volatility : Asset Pricing Implications

Pataracchia, B. - Tilburg University, Center for Economic Research - 2011

consumption growth process. The hidden states di¤er both for the mean and the volatility. We show that the ambiguity …-averse investor downweights high-mean states in favor of low-mean ones. However, such distortion appears much stronger in low-volatility … regimes: high volatility attenuates the distortion due to ambiguity concerns. It follows that (i) ambiguity aversion always …

Persistent link: https://www.econbiz.de/10011090768

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