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When risk weights increase the risk: some concerns for capital regulation
Varsanyi, Zoltan - Volkswirtschaftliche Fakultät, … - 2009
investors might potentially choose riskier portfolios than before the regulation – this is, presumably, not what the regulation … intends to achieve. That is, while regulation most likely diverts investors from their optimum decision it does not guarantee … that the new optimum has a lower risk. The effect of the regulation depends on several things, most importantly the …
Persistent link: https://www.econbiz.de/10005789350
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Asymmetric information and financial markets
Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2012
This paper aims to explore the relevance of the Asymmetric Information and the Theory of Argumentation TA in the complex area of financial crises. Specifically, we investigated the scope of the phenomenon of persuasion in advertising. It examines advertisements in publications notable economic...
Persistent link: https://www.econbiz.de/10011111296
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Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion
Blake, David; Wright, Douglas; Zhang, Yumeng - Volkswirtschaftliche Fakultät, … - 2011
Assuming loss aversion, stochastic investment and labour income processes, and a path-dependent target fund, we show that the optimal investment strategy for defined contribution pension plan members is a target-driven 'threshold' strategy. With this strategy, the equity allocation is increased...
Persistent link: https://www.econbiz.de/10009367962
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Optimal decisions on pension plans in the presence of financial literacy costs and income inequalities
Corsini, Lorenzo; Spataro, Luca - Volkswirtschaftliche Fakultät, … - 2011
Pension reforms are on the political agenda of many countries. Such reforms imply an increasing responsibility on individuals’ side in building an efficient portfolio for retirement. In this paper we provide a model describing workers’ choices on the allocation of retirement savings in...
Persistent link: https://www.econbiz.de/10009021998
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Reexamining the Empirical Relevance of Habit Formation Preferences
Cai, Zongwu; Liu, Xuan; Yang, Fang - Volkswirtschaftliche Fakultät, … - 2012
We reexamine the empirical relevance of habit formation preferences with micro-data on households' portfolio choices. We first derive the analytical solution to the risky asset share in a theoretical model with both habits and time-varying labor income. Our analytical results indicate that (1)...
Persistent link: https://www.econbiz.de/10011107322
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Accounting for non-annuitization
Pashchenko, Svetlana - Volkswirtschaftliche Fakultät, … - 2012
Why don't people buy annuities? Several explanations have been provided by the previous literature: large fraction of preannuitized wealth in retirees' portfolios; adverse selection; bequest motives; and medical expense uncertainty. This paper uses a quantitative model to assess the importance...
Persistent link: https://www.econbiz.de/10011108361
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Savings for retirement under liquidity constraints: a note
Corsini, Lorenzo; Spataro, Luca - Volkswirtschaftliche Fakultät, … - 2012
Pension systems often entail some compulsory saving over which individuals have some degree of choice in terms of the pension plan in which to invest. Our contribution analyses whether the choice between alternative plans is affected by the presence of liquidity constraints during working life....
Persistent link: https://www.econbiz.de/10011111784
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Endogenous financial literacy, saving and stock market participation
Spataro, Luca; Corsini, Lorenzo - Volkswirtschaftliche Fakultät, … - 2013
There is a consolidated empirical literature providing evidence of the fact that financial literacy, human capital, savings and stock market participation are interconnected decisions. However, to the best of our knowledge, a theoretical explanation of such connections is missing. In this paper...
Persistent link: https://www.econbiz.de/10011113360
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Dynamic Stock Market Participation of Households
Khorunzhina, Natalia - Volkswirtschaftliche Fakultät, … - 2011
This paper develops and estimates a dynamic model of stock market participation, where consumers’ decisions regarding stock market participation are influenced by participation costs. The practical significance of the participation costs is considered as being a channel through which financial...
Persistent link: https://www.econbiz.de/10009370812
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Growth Effects of Financial Integration and Financial Deepening in Selected Sub-Saharan African Economies: a Panel-Data Approach
Evans, Olaniyi - Volkswirtschaftliche Fakultät, … - 2013
This paper investigates the growth effects of financial integration and financial deepening in selected SSA economies, using a panel dataset of 10 SSA countries from 1970-2012. We use ratio of net FDI inflow to GDP (proxy for financial integration), ratio of gross capital formation to GDP (proxy...
Persistent link: https://www.econbiz.de/10011259904