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Cash-Flow Risk, Discount Risk, and the Value Premium
Santos, Tano - 2006
with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) the unconditional CAPM …
Persistent link: https://www.econbiz.de/10012783344
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Portfolio Choice in Retirement : Health Risk and the Demand for Annuities, Housing, and Risky Assets
Yogo, Motohiro - 2010
In a life-cycle model, a retiree faces stochastic health depreciation and chooses consumption, health expenditure, and the allocation of wealth between bonds, stocks, and housing. The model explains key facts about asset allocation and health expenditure across health status and age. The...
Persistent link: https://www.econbiz.de/10013150983
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Optimal Portfolio Choice with Wage-Indexed Social Security
Li, Jialun - 2011
stocks and risk-free bonds over its lifecycle. We show that allowing for the wage indexation of social security benefits …
Persistent link: https://www.econbiz.de/10013125573
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Portfolio Allocation for Public Pension Funds
Pennacchi, George - 2012
This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations … public pension fund management, we find evidence that funds chose greater overall asset - liability portfolio risk following …, pension plans take more risk when they have greater representation by plan participants on their Boards of Trustees …
Persistent link: https://www.econbiz.de/10013115597
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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
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Momentum Crashes
Daniel, Kent D. - 2015
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...
Persistent link: https://www.econbiz.de/10013032704
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Investor Diversification and International Equity Markets
French, Kenneth R.; Poterba, James M. - 2021
The benefits of international diversification have been recognized for decades. In spite of this, most investors hold nearly all of their wealth in domestic assets. In this paper, we construct new estimates of the international equity portfolio holdings of investors in the U.S., Japan, and...
Persistent link: https://www.econbiz.de/10013228251
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Maxing Out : Stocks as Lotteries and the Cross-Section of Expected Returns
Bali, Turan G. - 2009
between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …
Persistent link: https://www.econbiz.de/10012764338
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How Financial Literacy and Impatience Shape Retirement Wealth and Investment Behaviors
Hastings, Justine S. - 2011
Two competing explanations for why consumers have trouble with financial decisions are gaining momentum. One is that people are financially illiterate since they lack understanding of simple economic concepts and cannot carry out computations such as computing compound interest, which could...
Persistent link: https://www.econbiz.de/10013130966
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Betting on Death and Capital Markets in Retirement : A Shortfall Risk Analysis of Life Annuities
Dus, Ivica - 2005
withdrawal rule seems attractive, as it offers relatively low expected shortfall risk, good expected payouts for the retiree …
Persistent link: https://www.econbiz.de/10012784759