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Ambiguity Aversion and Household Portfolio Choice : Empirical Evidence
Dimmock, Stephen G. - 2013
.S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts …
Persistent link: https://www.econbiz.de/10013087877
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Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns
Cecchetti, Stephen G. - 2007
The Euler equations derived from a broad range of intertemporal asset pricing models, together with the first two unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We develop and implement statistical tests of these...
Persistent link: https://www.econbiz.de/10012776681
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Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations : Unitary, Rational, or Autoregressive
Friedman, Benjamin M. - 2010
This paper develops behavioral relationships explaining investors' demands for long-term bonds, using three alternative hypotheses about investors' expectations of future bond prices (yields). The results, based on U.S. 'data for six major categories of bond market investors, consistently...
Persistent link: https://www.econbiz.de/10012763222
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Maximizing Predictability in the Stock and Bond Markets
Lo, Andrew W. - 2010
We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources...
Persistent link: https://www.econbiz.de/10012763656
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Volatility Managed Portfolios
Moreira, Alan - 2016
Managed portfolios that take less risk when volatility is high produce large alphas, substantially increase factor Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, and investment factors...
Persistent link: https://www.econbiz.de/10012993228
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021
We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while those exposed to the realization of large shocks have earned...
Persistent link: https://www.econbiz.de/10013224964
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Econometric Models of Limit-Order Executions
Lo, Andrew W.; Mackinlay, A. Craig; Zhang, June - 2021
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...
Persistent link: https://www.econbiz.de/10013248406
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Using Neural Data to Test a Theory of Investor Behavior : An Application to Realization Utility
Frydman, Cary - 2015
utility" theory of investor behavior, which posits that people derive utility directly from the act of realizing gains and …
Persistent link: https://www.econbiz.de/10013036251
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Learning by Suffering? Patterns in Flu Shot Take-Up
Jin, Ginger Zhe - 2018
An annual flu shot is one of the least controversial and most widely-recommended preventative health measures. In spite of such advice, only a fraction of those who are suggested to get a flu shot actually receive it. We focus on past personal outcomes to understand how individual learning in...
Persistent link: https://www.econbiz.de/10012907749
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Immunization and Moral Hazard : The Hpv Vaccine and Uptake of Cancer Screening
Moghtaderi, Ali - 2016
HPV vaccination for cervical cancer on participation in the Pap test, which is a diagnostic screening test to detect … HPV vaccine. A reduction in willingness to have a Pap test as a result of HPV vaccination would signal the need for public … health intervention. The HPV vaccination is recommended for women age eleven to twelve for regular vaccination or for women …
Persistent link: https://www.econbiz.de/10012984769