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Downing, Christopher T. - 2012

hedging approach can eliminate nearly 90 percent of the tracking error of more conventional inflation hedging strategies. We … also find that long-short positions in equities play a dominant role in the effective hedging of inflation risk over …

Persistent link: https://www.econbiz.de/10012460524

The Expected Value Premium

Chen, Long - 2006

Fama and French (2002) estimate the equity premium using dividend growth rates to measure the expected rate of capital gain. We use similar methods to study the value premium. From 1941 to 2002, the expected HML return is on average 5.1% per annum, consisting of an expected-dividend-growth...

Persistent link: https://www.econbiz.de/10012466485

Rationalizing Trading Frequency and Returns : Maybe Trading is Good for You

Bonaparte, Yosef - 2019

Barber and Odean study the relationship between trading activity and returns. They find that households who trade more have a lower net return than other households. They argue that these results cannot emerge from a model with rational traders and instead attribute these findings to...

Persistent link: https://www.econbiz.de/10012479787

Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts

Horneff, Wolfram J. - 2008

This paper shows how lifelong survival-contingent payouts can enhance investor wellbeing in the context of a portfolio choice model which integrates uninsurable labor income and asymmetric mortality expectations. Our model generates optimal asset location patterns indicating how much to hold in...

Persistent link: https://www.econbiz.de/10012464591

Borrowing Costs and the Demand for Equity Over the Life Cycle

Davis, Steven J. - 2002

We analyze consumption and portfolio behavior in a life-cycle model with realistic borrowing costs and income processes. We show that even a small wedge between borrowing costs and the risk-free return dramatically shrinks the demand for equity. When the cost of borrowing equals or exceeds the...

Persistent link: https://www.econbiz.de/10012469375

When Bonds Matter : Home Bias in Goods and Assets

Coeurdacier, Nicolas - 2011

the co-movements between relative stock returns and real exchange rates, but from the hedging properties of stock returns … the model for G-7 countries and find strong empirical support for the theory. We are able to account for a significant … share of the equity home bias and obtain a currency exposure of bond portfolios comparable to the data …

Persistent link: https://www.econbiz.de/10012461098

Making the Numbers? "Short Termism" & the Puzzle of Only Occasional Disaster

Repenning, Nelson P. - 2010

Much recent work in strategy and popular discussion suggests that an excessive focus on "managing the numbers" --delivering quarterly earnings at the expense of longer term investments--makes it difficult for firms to make the investments necessary to build competitive advantage. "Short termism"...

Persistent link: https://www.econbiz.de/10012462289

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors

Sangvinatsos, Antonios - 2003

changes in term premia generates large hedging demands for long-term bonds …

Persistent link: https://www.econbiz.de/10012468608

The Determinants of Stock and Bond Return Comovements

Baele, Lieven - 2009

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We...

Persistent link: https://www.econbiz.de/10012463390

Decomposing the U.S. External Returns Differential

Curcuru, Stephanie E. - 2009

We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...

Persistent link: https://www.econbiz.de/10012463572

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