Showing 1 - 10 of 253
This paper extends the literature on the information content of financial variables with respect to future economic growth. It shows that variables originating from both the equity market and the bond market in Switzerland are useful indicators for forecasting the Swiss business cycle. In...
Persistent link: https://www.econbiz.de/10005859003
The goal of this paper is to assess, for the first time, the empirical impact of "Kaynes' beauty contest", or "higher order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and that heterogeneous expectation asset pricing models...
Persistent link: https://www.econbiz.de/10005857785
We consider a two-sided buyers & sellers' market with indiviseble goods. Agents may trade many units of any of the items available. Previous research, documenting the case ofunit-flow trades, showed that the existence of substitutability or complementarity colligations between goods. These...
Persistent link: https://www.econbiz.de/10005857788
These research addressess whether geographic diserfication provides benefits over industry diversification in a sample of European country and industry indexes.The methodology allows performance comparison with short-slling constraints, upper and lower bounds, and many bechmarks. In the absence...
Persistent link: https://www.econbiz.de/10005857789
This paper provides a stylized choice-thoretic model to analyze optimal monetary policies among interdependent economies. In response to marcoeconomic shocks, policymakers strike a balance between two objectives. The first is to stabilize marginal costs and markups to offset the distortions...
Persistent link: https://www.econbiz.de/10005857790
Using a new data set of small public firms in Germany, this paper analyzes the incentive and entrenchmenteffects associated witrh mangerial equity owernership. The relationship between firm value and insider ownership is found to be nonlinear: at low levels of ownership firm value is positive...
Persistent link: https://www.econbiz.de/10005857792
This paper tests two competing hypotheses about the influence of financial institutions as large shareholders on the performance of their industrial portfolio firms: the superior monitoring hypothesis versus the rent extraction hypothesis. The methodology of this study exploits the abolishment...
Persistent link: https://www.econbiz.de/10005857793
The main tools and cocepts of financial and actuarial theory are designed to handle standards, or even small risk. The aim of this paper is to reconsider some selected financial problems, in a setup including infrequent extreme risks. We first consider investors maximizing the expected utility...
Persistent link: https://www.econbiz.de/10005857795
This paper reveals that the class of affine term structure models introduced by Duffie and Kan (1996) is much larger than it has been usually considered in the literature. We study "fundamental" risk factors, which represent multivariate risk aversion of the consumer volatility matrix of the...
Persistent link: https://www.econbiz.de/10005857969
Previous research has shown that frictions might have a significant impact on the value of a contingent claim, as discussed, for example, in Karatzas & Kou (1996)and Collin-Dufresne & Hugonnier (2002). We consider two types of frictions particularly important: frictions related to trading, such...
Persistent link: https://www.econbiz.de/10005857970