This paper aims to survey selected recent papers presenting new evidenceon an age-old question in financial economics: “Are stock market returnspredictable?”. The hypothesis that equity returns are predictable (specificallyat long horizons) has been called a “new fact in finance” by...

This paper surveys selected applications of the Lorenz curve and related stochasticorders in economics and econometrics, with a bias towards problems in statisticaldistribution theory. These include characterizations of income distributions in termsof families of inequality measures, Lorenz...

Arbitrage pricing cannot be applied to commodity futures because the physicalcommodity does not represent a pure asset: Since consumption and processing of thecommodity can drive down inventories to zero, it is not always possible to construct areplicating portfolio for the futures contract, and...

This paper examines properties of mean-variance inefficient proxieswith respect to producing a linear relation between expected returnsand betas. The numerical results of a Monte Carlo simulation showthat in the CAPM slightly inefficient, positively weighted proxies causean almost perfect linear...

Obesity has become a major health issue. Research in economics has providedimportant insights as to how technological progress reduced the relative price of food andcontributed to the increase in obesity. However, the increased availability of food might wellhave overstrained will power and led...

Die Pro-Kopf-Ausgaben der Schweizer Kantone und Gemeinden unterscheiden sich sehr deutlich: Währendbspw. der Kanton und die Gemeinden von AI im Jahr 2002 nur 7 530 CHF pro Einwohner aufwendeten,beliefen sich die Pro-Kopf-Ausgaben von Basel-Stadt auf über 18 600 CHF2. Die Finanzlage der...

Auch wenn die grundsätzliche Idee von Hedge Funds schon mehr als ein halbes Jahrhundertbesteht, so hat diese Anlageform doch erst in den letzten Jahren an Bedeutunggewonnen, und zwar sowohl in der Praxis als auch in der der akademischen Forschung.Dabei sind Hedge Funds in die größere Klasse...

The goal of this chapter is twofold: First, we present an overview of the current researchon hedge fund performance. Second, we provide new evidence for the Europeanhedge fund industry. The empirical analysis scrutinizes the return patterns in thepast and alerts investors to the potential...

This paper analyzes forward-looking monetary policy rules in structural VAR’s. First, an approach for modeling a monetary policy which aims at a strict medium term inflation or output growth target is developed. Second, the ex ante inflation-output-growth volatility trade-off for a...

This paper analyzes forward-looking rules for Swiss monetary policy in a small structural VAR model consisting of four variables taking into account data revisions for GDP. First, the paper develops an analytical method to analyze the effect of data revision errors in GDP on the ex ante or...