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Asset Allocation and Monetary Policy : Evidence from the Eurozone

Hau, Harald - 2014

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003-2010. We use this cross-country variation in the (local) tightness of monetary policy to examine its...

Persistent link: https://www.econbiz.de/10013045340

Measuring Alpha in the Fund Management Industry : Do Female Managers Perform Better?

Babalos, Vassilios - 2013

This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences. Fund performance is evaluated against funds' designated market indices and representative style portfolios. Consistently with previous studies, no significant differences in...

Persistent link: https://www.econbiz.de/10013080505

Double Diversification with an Application to Iceland

Gylfason, Thorvaldur - 2015

diversification as an essential aspect of national risk management aimed at promoting efficiency, growth, and welfare. The paper first … presents economic and political diversification side by side in a cross-country framework and discusses how they interact and … effects of insufficient economic and insufficient political diversification. Dominated for decades by the fishing industry …

Persistent link: https://www.econbiz.de/10013020575

Portfolio Sales and Signaling

Bougheas, Spiros - 2017

A common practice of banks has been to pool assets of different qualities and then sell a fraction of the newly created portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify conditions under which signaling at the portfolio level...

Persistent link: https://www.econbiz.de/10012960474

The Design of Pension Pay Out Options When the Health Status During Retirement is Uncertain

Kifmann, Mathias - 2021

This paper examines the optimal design of pension plans when the health status during retirement is uncertain. Assuming that the health status affects both life expectancy and the marginal utility of consumption, choice between a lump-sum payment and an annuity can be welfare-enhancing if the...

Persistent link: https://www.econbiz.de/10013316589

Assets Returns Volatility and Investment Horizon : The French Case

Bec, Frederique - 2009

This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The...

Persistent link: https://www.econbiz.de/10013160520

Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios

Pesaran, M. Hashem - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...

Persistent link: https://www.econbiz.de/10013153425

Lessons of the Financial Crisis for the Design of National Pension Systems

Burtless, Gary - 2009

The recent financial crisis and historical record suggest important lessons about the design of national pension systems. First, wide fluctuation in asset returns makes it hard for well-informed savers to select a saving rate or a sensible investment strategy for DC pensions. Workers who follow...

Persistent link: https://www.econbiz.de/10013157457

Wealth Taxation, Non-Listed Firms, and the Risk of Entrepreneurial Investment

Schindler, Dirk - 2017

How to incorporate hard-to-measure assets into the wealth tax? We analyze the effect of an optimal wealth tax on risk-taking behavior and welfare when investors do not only have the standard portfolio choice with a well-diversified market portfolio, but can alternatively choose to invest all...

Persistent link: https://www.econbiz.de/10012951768

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Pesaran, M. Hashem - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10012955752

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