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RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence
Cong, Lin William; George, Nathan Darden; Wang, Guojun - National Bureau of Economic Research - 2023
We document that value-to-price, the ratio of Residual-Income-Model-based valuation to market price, subsumes the power of book-to-market ratio and many other value or quality measures in predicting stock returns. Long-short value-to-price portfolios hedge against momentum, revitalize the...
Persistent link: https://www.econbiz.de/10014226164
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Asset Pricing with Optimal Under-Diversification
Elenev, Vadim; Landvoigt, Tim - National Bureau of Economic Research - 2023
We study sources and implications of undiversified portfolios in a production-based asset pricing model with financial frictions. Households take concentrated positions in a single firm exposed to idiosyncratic shocks because managerial effort requires equity stakes, and because investors gain...
Persistent link: https://www.econbiz.de/10014250139
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The Welfare Gains from Macro-Insurance Against Natural Disasters
Borensztein, Eduardo - 2015
This paper uses a dynamic optimization model to estimate the welfare gains that a small open economy can derive from insuring against natural disasters with catastrophe (CAT) bonds. We calibrate the model by reference to the risk of earthquakes, floods and storms in developing countries. We find...
Persistent link: https://www.econbiz.de/10012456995
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Target Retirement Fund : A Variant on Target Date Funds that uses Deferred Life Annuities rather than Bonds to Reduce Risk as Retirement Approaches
Shoven, John B.; Walton, Daniel - National Bureau of Economic Research - 2023
call this new variant a "target retirement plan." Instead of increasing the allocation to bond funds as retirement … 30-year futures for stock returns, bond fund returns and Treasury interest rates. The main result from this paper is that … bond returns …
Persistent link: https://www.econbiz.de/10013537711
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Fixed and Variable Longevity Annuities in Defined Contribution Plans : Optimal Retirement Portfolios Taking Social Security into Account
Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - National Bureau of Economic Research - 2023
This paper investigates retirees' optimal purchases of fixed and variable longevity income annuities using their defined contribution (DC) plan assets and given their expected Social Security benefits. As an alternative, we also evaluate using plan assets to boost Social Security benefits...
Persistent link: https://www.econbiz.de/10013537747
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When Bonds Matter : Home Bias in Goods and Assets
Coeurdacier, Nicolas - 2011
foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from … against other sources of risk, conditionally on bond returns. We estimate the optimal equity and bond portfolios implied by …
Persistent link: https://www.econbiz.de/10012461098
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Finance in a Time of Disruptive Growth
Garleanu, Nicolae; Panageas, Stauros - National Bureau of Economic Research - 2024
We propose a unified theory of asset price determination encompassing both "conventional" and "alternative" asset …
Persistent link: https://www.econbiz.de/10014512038
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The Law of Small Numbers in Financial Markets : Theory and Evidence
Jin, Lawrence J.; Peng, Cameron - National Bureau of Economic Research - 2024
We build a model of the law of small numbers (LSN)--the incorrect belief that even small samples represent the properties of the underlying population--to study its implications for trading behavior and asset prices. In our model, a belief in the LSN induces investors to expect short-term price...
Persistent link: https://www.econbiz.de/10014544796
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A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios
Alekseev, Georgij; Giglio, Stefano; Maingi, Quinn; … - National Bureau of Economic Research - 2022
We propose a new methodology to build portfolios that hedge the economic and financial risks from climate change. Our quantity-based approach exploits information on how mutual fund managers trade in response to idiosyncratic changes in their climate risk beliefs. We exploit two types of...
Persistent link: https://www.econbiz.de/10013477195
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Preferred Habitats and Timing in the World's Safe Asset
Tabova, Alexandra M.; Warnock, Francis E. - National Bureau of Economic Research - 2022
Investors' behavior in U.S. Treasuries - the world's safe asset - affects monetary policy transmission mechanisms, fiscal policy space, loan pricing, and international vulnerabilities. Yet it is not well understood for a simple reason: researchers, not having a clear picture of the Treasury...
Persistent link: https://www.econbiz.de/10013477214