Narrow search
Showing 1 - 10 of 1,893
Cover Image
Rational Attention Allocation Over the Business Cycle
Kacperczyk, Marcin - 2009
The question of whether and how mutual fund managers provide valuable services for their clients motivates one of the largest literatures in finance. One candidate explanation is that funds process information about future asset values and use that information to invest in high-valued assets....
Persistent link: https://www.econbiz.de/10012463199
Cover Image
The Bubble of 1929 : Evidence from Closed-End Funds
De Long, J. Bradford - 1990
Closed-end mutual funds provide one of the few cases in which economists can observe "fundamental" values directly, and compare them to market values: the fundamental value of a closed-end fund is simply the net asset value of its portfolio. We use the difference between prices and asset values...
Persistent link: https://www.econbiz.de/10012475510
Cover Image
Does Mutual Fund Performance Vary over the Business Cycle?
de Souza, André - 2012
We develop a new methodology that allows conditional performance to be a function of information available at the start … of the performance period but does not make assumptions about the behavior of the conditional betas. We use econometric …-based method to assess the conditional performance of fund styles in the CRSP mutual fund data set, and are careful to condition …
Persistent link: https://www.econbiz.de/10012460522
Cover Image
International Home Bias in International Finance and Business Cycles
Lewis, Karen K. - 1998
Domestic investors hold a substantially larger proportion of their wealth portfolios in domestic assets than standard portfolio theory would suggest. This phenomenon has been called equity home bias.' In the absence of this home bias, investors would optimally diversify away domestic output...
Persistent link: https://www.econbiz.de/10012472465
Cover Image
Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
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/10012480268
Cover Image
Rational Sentiments and Economic Cycles
Farboodi, Maryam - 2020
-dip recession. It is generically different from the optimal cycle as atomistic lenders ignore their effect on the composition of the …
Persistent link: https://www.econbiz.de/10012481327
Cover Image
Credit Risk and Disaster Risk
Gourio, Francois - 2011
Corporate credit spreads are large, volatile, countercyclical, and significantly larger than expected losses, but existing macroeconomic models with financial frictions fail to reproduce these patterns, because they imply small and constant aggregate risk premia. Building on the idea that...
Persistent link: https://www.econbiz.de/10012461632
Cover Image
Labor Income Dynamics at Business-Cycle Frequencies : Implications for Portfolio Choice
Lynch, Anthony W. - 2004
A large recent literature has focused on multiperiod portfolio choice with labor income, and while the models are elaborate along several dimensions, they all assume that the joint distribution of shocks to labor income and asset returns is i.i.d.. Calibrating this joint distribution to U.S....
Persistent link: https://www.econbiz.de/10012467677
Cover Image
Safe Assets
Barro, Robert J. - 2014
A safe asset's real value is insulated from shocks, including declines in GDP from rare macroeconomic disasters. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of safe assets. Therefore, in the equilibrium of a...
Persistent link: https://www.econbiz.de/10012458013
Cover Image
External Equity Financing Shocks, Financial Flows, and Asset Prices
Belo, Frederico - 2014
The ability of corporations to raise external equity finance varies with macroeconomic conditions, suggesting that the cost of equity issuance is time-varying. Using cross sectional data on U.S. publicly traded firms, we construct an empirical proxy of an aggregate shock to the cost of equity...
Persistent link: https://www.econbiz.de/10012458455