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Institutional Reform and Depositors' Portfolio Choice -- Evidence from Censored Quantile Regressions
Berlemann, Michael - 2014
In this paper we study the effect of institutional reform on the decision to hold risky assets at the extensive and the intensive margin. We therefore make use of the natural experiment of German Division and Reunification and, based on savings bank customer data from German savings banks, study...
Persistent link: https://www.econbiz.de/10013053072
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Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns
Hoffmann, Mathias - 2021
Small businesses tend to be owned by wealthy households. Such entrepreneur households also own a large share of U.S. stock market wealth. Fluctuations in entrepreneurs' hunger for risk could therefore help explain time variation in the equity premium. The paper suggests an entrepreneurial...
Persistent link: https://www.econbiz.de/10013317587
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Heterogeneity and Persistence in Returns to Wealth
Fagereng, Andreas - 2018
return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth …
Persistent link: https://www.econbiz.de/10012913195
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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Baumeister, Christiane - 2016
has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …
Persistent link: https://www.econbiz.de/10012996209
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The Relevance or Otherwise of the Central Bank's Balance Sheet
Miles, David - 2014
bank asset purchases have the potential to affect households' choices by changing the composition and return of their asset …
Persistent link: https://www.econbiz.de/10013058499
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Predictability of Asset Returns and the Efficient Market Hypothesis
Pesaran, M. Hashem - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins … considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical … foundation of the EMH, and show that market efficiency could co-exit with heterogeneous beliefs and individual irrationality so …
Persistent link: https://www.econbiz.de/10013141185
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Revealing Downturns
Schmalz, Martin C. - 2018
When Bayesian risk-averse investors are uncertain about their assets' cash flows' exposure to systematic risk, stock prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns. The reason is that, in good times, less desirable...
Persistent link: https://www.econbiz.de/10012922837
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Limit-Order Submission Strategies under Asymmetric Information
Menkhoff, Lukas - 2013
This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively...
Persistent link: https://www.econbiz.de/10013094725
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How Much Do Means-Tested Benefits Reduce the Demand for Annuities?
Butler, Monika - 2011
We analyze the effect of means-tested benefits on annuitization decisions. Most industrialized countries provide a subsistence level consumption floor in old age, usually in the form of means-tested benefits. The availability of such means-tested payments creates an incentive to cash out...
Persistent link: https://www.econbiz.de/10013123214
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Reputational Herding in Financial Markets : A Laboratory Experiment
Roider, Andreas - 2015
employers. Employers can observe investment behavior, but not investors' ability types. Thereby, reputational incentives may …
Persistent link: https://www.econbiz.de/10013029493