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Managerial hedging and portfolio monitoring
Bisin, Alberto (contributor); Gottardi, Piero (contributor);  … - 2004
using financial markets and shareholders cannot perfectly monitor the managers̕ portfolio in order to keep him from hedging … monitoring is costly governance is imperfect. If managerial hedging is detected, shareholders can seize the payoffs of the …) conditional on the firms̕ performance, the managers̕ compensation is lower when his portfolio is monitored, even if no hedging is …
Persistent link: https://www.econbiz.de/10002521243
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Can time-varying currency risk hedging explain exchange rates?
Bräuer, Leonie; Hau, Harald - 2022
bond positions, which creates a net hedging demand for dollar assets that depreciates USD rates in both the forward and … spot markets. We document the time-varying nature of this net hedging demand and show how it relates to eco … FX hedging pressure can account for approximately 30% of all monthly variation in the seven most important dollar …
Persistent link: https://www.econbiz.de/10013440410
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Changes in risk and asset prices
Schlesinger, Harris; Gollier, Christian - 2001
We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...
Persistent link: https://www.econbiz.de/10011398103
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Cyclical asset returns in the consumption and investment goods sector
Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with...
Persistent link: https://www.econbiz.de/10009786095
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Collective risk-taking decisions with heterogeneous beliefs
Gollier, Christian - 2003
Suppose that a group of agents having divergent expectations can share risks efficiently. We examine how this group should behave collectively to manage these risks. We show that the beliefs of the representative agent is in general a function of the group.s wealth level, or equivalently, that...
Persistent link: https://www.econbiz.de/10011507677
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Testing for alpha in linear factor pricing podels with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …
Persistent link: https://www.econbiz.de/10011646274
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Carbon dioxide as a risky asset
Bauer, Adam Michael; Proistosescu, Cristian; 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/10013549072
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Property insurance, portfolio selection and their interdependence
Chang, Fwu-ranq (contributor) - 2008
Persistent link: https://www.econbiz.de/10003662865
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Illusion of expertise in portfolio decisions : an experimental approach
Fellner, Gerlinde; Güth, Werner; Maciejovsky, Boris - 2001
Overall, 72 subjects invest their endowment in four risky assets. Each com-bination of assets yields the same expected return and variance of returns. Illusion of expertise prevails when one prefers nevertheless the self-selected portfolio. After being randomly assigned to groups of four...
Persistent link: https://www.econbiz.de/10011408429
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The design of pension pay out options when the health status during retirement is uncertain
Kifmann, Mathias (contributor) - 2008
Persistent link: https://www.econbiz.de/10003635223