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Optimal Taxation and Social Insurance with Endogenous Private Insurance
Chetty, Raj - 2013
This paper characterizes the welfare gains from redistributive taxation and social insurance in an environment where the private sector provides partial insurance. We analyze stylized models in which adverse selection, pre-existing information, or imperfect optimization in private insurance...
Persistent link: https://www.econbiz.de/10012753423
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Health and Mortality Delta : Assessing the Welfare Cost of Household Insurance Choice
Koijen, Ralph S. J. - 2011
We develop a pair of risk measures, health and mortality delta, for the universe of life and health insurance products. A life-cycle model of insurance choice simplifies to replicating the optimal health and mortality delta through a portfolio of insurance products. We estimate the model to...
Persistent link: https://www.econbiz.de/10013121063
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The Short of it : Investor Sentiment and Anomalies
Stambaugh, Robert F. - 2011
This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We consider a setting where the presence of market-wide sentiment is combined with the argument that overpricing should be more prevalent than underpricing, due to short-sale...
Persistent link: https://www.econbiz.de/10013127985
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The Economics of Hedge Funds : Alpha, Fees, Leverage, and Valuation
Lan, Yingcong - 2011
Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed to the high-water mark (HWM). We study the effects of managerial skills (alpha) and compensation on dynamic leverage choices and the valuation of fees and investors' payoffs....
Persistent link: https://www.econbiz.de/10013128908
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Fiscal Limits in Advanced Economies
Leeper, Eric M. - 2011
Aging populations in advanced economies are placing ever-increasing demands on government spending in the form of old-age benefits. Economies that have promised substantially more benefits than they have made provision to finance are heading into a prolonged era of fiscal stress. Unresolved...
Persistent link: https://www.econbiz.de/10013129132
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Advances in Consumption-Based Asset Pricing : Empirical Tests
Ludvigson, Sydney C. - 2011
The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset pricing, as well as some debate. This chapter surveys the...
Persistent link: https://www.econbiz.de/10013129191
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Margin-Based Asset Pricing and Deviations from the Law of One Price
Garleanu, Nicolae - 2011
In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns are characterized both by their betas and their margin requirements. Negative shocks to fundamentals make margin constraints bind, lowering risk-free rates and raising Sharpe...
Persistent link: https://www.econbiz.de/10013130262
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Transition to FDI Openness : Reconciling Theory and Evidence
McGrattan, Ellen R. - 2011
conclusive evidence that they are positive, as theory predicts. This paper shows that the lack of empirical evidence is … consistent with theory if countries are in transition to FDI openness. Anticipated welfare gains lead to temporary declines in … reconciliation of theory and evidence is accomplished with a multicountry dynamic general equilibrium model parameterized with data …
Persistent link: https://www.econbiz.de/10013130264
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Investors' and Central Bank's Uncertainty Embedded in Index Options
David, Alexander - 2011
Shocks to equity options' ATM implied volatility (ATMIV) are followed by persistently lower short-term rates. Shocks to the ratio of OTM puts' over OTM calls' implied volatilities (P/C) are followed by persistently higher rates. The stock's and Treasury-bond's ATMIV indices, which measure market...
Persistent link: https://www.econbiz.de/10013130555
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Differences of Opinion and International Equity Markets
Dumas, Bernard - 2011
We develop an international financial market model in which domestic and foreign residents differ in their beliefs about the information content in public signals. We determine how informational advantages by domestic investors in the interpretation of home public signals impact equity markets....
Persistent link: https://www.econbiz.de/10013130709