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Tenure Choice, Portfolio Structure and Long-Term Care - Optimal Risk Management in Retirement
Fehr, Hans - 2019
We study the interplay between tenure decisions, stock market investment and the public social security system. Housing equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various risks in retirement. Our life cycle model captures...
Persistent link: https://www.econbiz.de/10012864931
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Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …
Persistent link: https://www.econbiz.de/10013233142
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Carbon Dioxide as a Risky Asset
Bauer, Adam Michael; Proistosescu, Christian; Wagner, Gernot - 2023
We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk and uncertainty that is consistent with the Intergovernmental Panel on Climate Change’s sixth assessment report. We find that this approach provides economic support for the...
Persistent link: https://www.econbiz.de/10014255593
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Style Consistency and Mutual Fund Returns : The Case of Russia
Bayarmaa, Adiya - 2019
This paper carries out style analysis for Russian mutual funds using monthly data from the National Managers’ Association over the period January 2008-December 2017; specifically, it applies the RSBA method developed by Sharpe (1992) for evaluating the impact of style on returns, and uses the...
Persistent link: https://www.econbiz.de/10012871757
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The Trading Response of Individual Investors to Local Bankruptcies
Laudenbach, Christine - 2020
We use data from a German online brokerage and a survey to show that retail investors sharply reduce risk-taking in response to nearby firm bankruptcies, which are not predictive of returns. The effects on trading are spatially highly concentrated, immediate and not persistent. They seem to...
Persistent link: https://www.econbiz.de/10012837679
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Consumer Debt and Default : A Macro Perspective
Exler, Florian - 2020
In this survey, we review the quantitative macroeconomic literature analyzing consumer debt and default. We start by providing an overview of consumer bankruptcy law in the US and document the relevant institutional changes over time. We proceed with a comprehensive empirical section, describing...
Persistent link: https://www.econbiz.de/10012841141
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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R. - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …
Persistent link: https://www.econbiz.de/10012908691
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Furlough and Household Financial Distress During the Covid-19 Pandemic
Görtz, Christoph; McGowan, Danny; Yeromonahos, Mallory - 2021
We study how furlough affects household financial distress during the COVID-19 pandemic. Furlough increases the probability of late housing and bill payments by 30% and 9%, respectively. The effects exist for individuals who rent their home, but not mortgagees who can mitigate financial distress...
Persistent link: https://www.econbiz.de/10013212266
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The Liquidity Channel of Fiscal Policy
Bayer, Christian - 2020
—the liquidity premium. We rationalize this finding in an estimated heterogeneous-agent New-Keynesian (HANK) model with incomplete … markets and portfolio choice, in which public debt affects private liquidity. In this environment, the short-run fiscal … multiplier is amplified by the countercyclical liquidity premium. This liquidity channel stabilizes investment and crowds in …
Persistent link: https://www.econbiz.de/10012830353
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The Impact of Fintech Startups on Financial Institutions' Performance and Default Risk
Haddad, Christian; Hornuf, Lars - 2021
We examine the impact of fintech start-ups on the performance and default risk of traditional financial institutions. We find a positive relationship between fintech start-up formations and incumbent institutions’ performance for the period 2005–2018 and a large sample of financial...
Persistent link: https://www.econbiz.de/10013229697