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Currency Incontrovertibility, Trade Taxes and Smuggling
de Macedo, Jorge Braga - 1987
In the classic analysis of smuggling importers choose the optimal mix of legal and illegal trade, given trade taxes and the technology of detection. This paper introduces an inconvertible currency in the framework, so that illegal trade is valued at a rate higher than the (fixed) official...
Persistent link: https://www.econbiz.de/10012476893
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Maximizing Seignorage Revenue During Temporary Suspensions of Convertibility : A Note
Bordo, Michael - 1992
This note extends the theory of the revenue maximizing rate of monetary growth to the case of a temporary suspension of … convertibility. It also suggests a methodology for the interpretation of monetary behavior during historical periods of … revenue by generating an inflation, but the terminal condition of a return to convertibility implies that the price level must …
Persistent link: https://www.econbiz.de/10012474956
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The empirical foundations of the arbitrage pricing theory
Lehmann, Bruce Neal; Modest, David M. - 1985
Persistent link: https://www.econbiz.de/10000687104
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Country Portfolios
Kraay, Aart - 2000
How do countries hold their financial wealth? We construct a new database of countries' claims on capital located at home and abroad, and international borrowing and lending, covering 68 countries from 1966 to 1997. We find that a small amount of capital flows from rich countries to poor...
Persistent link: https://www.econbiz.de/10012470955
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Why Stocks May Disappoint
Ang, Andrew - 2000
Recently much progress has been made in developing optimal portfolio choice models accomodating time-varying opportunity sets, but unless investors are unreasonably risk averse, optimal holdings include unreasonably large equity positions. One reason is that most studies assume investors behave...
Persistent link: https://www.econbiz.de/10012470967
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Trading Volume : Definitions, Data Analysis, and Implications of Portfolio Theory
Lo, Andrew W. - 2000
We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two …
Persistent link: https://www.econbiz.de/10012471146
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Nonparametric Risk Management and Implied Risk Aversion
Ait-Sahalia, Yacine - 2000
Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for the fact that the same dollar loss can have two very different economic valuations, depending on business...
Persistent link: https://www.econbiz.de/10012471198
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Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income
Viceira, Luis M. - 1999
This paper analyzes optimal portfolio decisions of long-horizon investors with undiversifiable labor income risk and exogenous expected retirement and lifetime horizons. It shows that the fraction of savings optimally invested in stocks is unambiguously larger for employed investors than for...
Persistent link: https://www.econbiz.de/10012471376
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Comparing Asset Pricing Models : An Investment Perspective
Pastor, Lubos - 1999
We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence to update prior beliefs centered on either risk-based or characteristic-based pricing models. With dogmatic beliefs in such models and an unconstrained ratio of position size to capital, optimal...
Persistent link: https://www.econbiz.de/10012471499
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Asset Location in Tax-Deferred and Conventional Savings Accounts
Shoven, John B. - 1999
attention in financial theory and practice. On the other hand, investors have not been given much guidance about which assets …
Persistent link: https://www.econbiz.de/10012471596