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Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements
Lizyayev, Andrey - Tinbergen Instituut - 2010
For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...
Persistent link: https://www.econbiz.de/10011255464
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Volatility Spillovers from the US to Australia and China across the GFC
Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - Tinbergen Instituut - 2013
This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...
Persistent link: https://www.econbiz.de/10011255545
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Stock Selection Strategies in Emerging Markets
Hart, Jaap van der; Slagter, Erica; Dijk, Dick van - Tinbergen Instituut - 2001
This discussion paper resulted in a publication in 'Emerging Markets Review', 2005, 6, 238-262.<P> See also the publication in the 'Journal of Empirical Finance', 2003, 10, 1-5=132.<P> Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging...</p></p>
Persistent link: https://www.econbiz.de/10011255877
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
See the article in <I>The North American Journal of Economics and Finance</I> (2013). Volume 26(C), pages 217-226.<P> Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents...</p></i>
Persistent link: https://www.econbiz.de/10011256871
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Do Elections lead to Informed Public Decisions?
Swank, Otto H.; Visser, Bauke - Tinbergen Instituut - 2003
that examination takes place in spite of, rather than thanks to, elections. Elections are needed as a carrot and a stick to …
Persistent link: https://www.econbiz.de/10011255916
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How Polarization and Political Instability affect Learning through Experimentation
Ossokina, Ioulia V.; Swank, Otto H. - Tinbergen Instituut - 2001
elections (exogenous elections) andthe decision is salient and the election outcome depends on it (endogenous elections).We show …. Furthermore, in contrast to the existing literature, wedemonstrate that, when elections are exogenous, polarization between … political parties does not always decreaseactive learning. In the case with endogenous elections we find that electoral concerns …
Persistent link: https://www.econbiz.de/10011256440
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The Optimal Degree of Polarization
Ossokina, Ioulia V.; Swank, Otto - Tinbergen Instituut - 2001
This discussion paper led to a publication in the 'European Journal of Political Economics', 2004, 20, 255-262.<P> In the literature on electoral politics full convergence of policy platforms is usually regarded as socially optimal. Thereason is that risk-averse voters prefer a sure...</p>
Persistent link: https://www.econbiz.de/10011256641
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Does Campaign Finance imply Political Favors?
Claessens, Stijn; Feijen, Erik; Laeven, Luc - Tinbergen Instituut - 2006
This paper provides empirical evidence that campaign contributions arestrongly associated with market expectations of future firm-specific political favors,including preferential access to external financing. Using a novel dataset, we find thatfirms in Brazil providing contributions in the 1998...
Persistent link: https://www.econbiz.de/10011256939
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Mutual Funds and Information Diffusion: The Role of Country-Level Governance
Lin, Chunmei; Massa, Massimo; Zhang, Hong - Tinbergen Instituut - 2014
We hypothesize that poor country-level governance, which makes public information less reliable, induces fund managers to increase their use of semi-public information. Utilizing data from international mutual funds and stocks over the 2000-2009 period, we find that semi-public...
Persistent link: https://www.econbiz.de/10011272600
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Insurance Sector Risk
Slijkerman, Jan Frederik - Tinbergen Instituut - 2006
We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...
Persistent link: https://www.econbiz.de/10011255587