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Smit, Han; Berg, Ward A. van den - Tinbergen Institute - 2006

This study presents a dynamic model for the private equity market in which information revelation and uncertainty rationally explain the cyclical pattern of investment flows into private equity. The net benefit of private equity over public equity is i) uncertain and ii) agents have private...

Persistent link: https://www.econbiz.de/10005209472

Strategic versus Financial Investors: The Role of Strategic Objectives in Financial Contracting

Arping, Stefan; Falconieri, Sonia - Tinbergen Institute

Strategic investors, such as corporate venture capitalists, engage in the financing of start-up firms to complement their core businesses and to facilitate the internalization of externalities. We argue that while strategic objectives make it more worthwhile for an investor to elicit high...

Persistent link: https://www.econbiz.de/10005016265

Market Liquidity, Investor Participation and Managerial Autonomy: Why do Firms go Private?

Boot, Arnoud W.A.; Gopaian, Radhakrishnan; Thakor, Anjan V. - Tinbergen Institute - 2006

ownership relative to private ownership lie in the liquidity of public ownership. While the liquidity of public ownership lets … shareholders trade easily and supply capital at a lower cost, the liquidity-engendered trading also results in stochastic shocks to … higher cost of capital. Thus, capital market liquidity, while being a principal advantage of public ownership, also has a …

Persistent link: https://www.econbiz.de/10005450778

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; … - Tinbergen Institute

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

Persistent link: https://www.econbiz.de/10005016261

Investment, Resolution of Risk, and the Role of Affect

Winden, Frans van; Krawczyk, Michal; Hopfensitz, Astrid - Tinbergen Institute - 2008

This experimental study is concerned with the impact of the timing of the resolution of risk on people’s willingness to take risks, with a special focus on the role of affect. While the importance of anticipatory emotions has so far been only inferred from decisions regarding hypothetical...

Persistent link: https://www.econbiz.de/10005144438

Explaining Hedge Fund Investment Styles by Loss Aversion

Siegmann, Arjen; Lucas, André - Tinbergen Institute - 2002

Recent research reveals that hedge fund returns exhibit a range of different, possibly non-linear pay-off patterns. It is difficult to qualify all these patterns simultaneously as being rational in a traditional framework for optimal financial decision making. In this paper we present a simple...

Persistent link: https://www.econbiz.de/10005144566

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Institute - 1999

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk. Depending on both the degree of non-linearity of the instruments comprised in the portfolio and the willingness to make restrictive assumptions on the underlying statistical distributions, a...

Persistent link: https://www.econbiz.de/10005144576

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

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

This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...

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

Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights

Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco - Tinbergen Institute - 2009

Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....

Persistent link: https://www.econbiz.de/10004964452

Stochastic Dominance: Convexity and Some Efficiency Tests

Lizyayev, Andrey M. - Tinbergen Institute - 2009

This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We review

Persistent link: https://www.econbiz.de/10008513225