Narrow search
Showing 1 - 10 of 193
Cover Image
Banks as Secret Keepers
Dang, Tri Vi - 2014
Banks are optimally opaque institutions. They produce debt for use as a transaction medium (bank money), which requires … that information about the backing assets - loans - not be revealed, so that bank money does not fluctuate in value …-insensitive assets. For the economy as a whole, firms endogenously separate into bank finance and capital market/stock market finance …
Persistent link: https://www.econbiz.de/10013051755
Cover Image
A Model of Shadow Banking
Gennaioli, Nicola - 2011
We present a model of shadow banking in which financial intermediaries originate and trade loans, assemble these loans into diversified portfolios, and then finance these portfolios externally with riskless debt. In this model: i) outside investor wealth drives the demand for riskless debt and...
Persistent link: https://www.econbiz.de/10013123980
Cover Image
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
Cover Image
A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013130782
Cover Image
Credit Spreads as Predictors of Real-Time Economic Activity : A Bayesian Model-Averaging Approach
Faust, Jon - 2011
Employing a large number of real and financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. Importantly, the predictor set includes option-adjusted credit spread indexes based on bond portfolios sorted by maturity and credit risk as...
Persistent link: https://www.econbiz.de/10013130981
Cover Image
Betting Against Beta
Frazzini, Andrea - 2010
We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints....
Persistent link: https://www.econbiz.de/10013135232
Cover Image
On the Correlation Structure of Microstructure Noise : A Financial Economic Approach
Diebold, Francis X. - 2010
volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent …
Persistent link: https://www.econbiz.de/10013137011
Cover Image
Asset Class Diversification and Delegation of Responsibilities between Central Banks and Sovereign Wealth Funds
Aizenman, Joshua - 2010
This paper presents a model comparing the degree of asset class diversification abroad by a central bank and a … sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance of payments …. We also show how the diversification differences between the strategies of the bank and SWF are affected by the …
Persistent link: https://www.econbiz.de/10013137768
Cover Image
Valuation of Variance Forecast with Simulated Option Markets
Engle, Robert F. - 2010
An appropriate metric for the success of an algorithm to forecast the variance of the rate of return on a capital asset could be the incremental profit from substituting it for the next best alternative. We propose a framework to assess incremental profits for competing algorithms to forecast...
Persistent link: https://www.econbiz.de/10013138666
Cover Image
Asset Allocation
Wachter, Jessica A. - 2010
This review article describes recent literature on asset allocation, covering both static and dynamic models. The article focuses on the bond--stock decision and on the implications of return predictability. In the static setting, investors are assumed to be Bayesian, and the role of various...
Persistent link: https://www.econbiz.de/10013139518