Showing 1 - 10 of 43
assets can only be traded infrequently. The possibility of a liquidity crisis leads to limited arbitrage in normal times …
Persistent link: https://www.econbiz.de/10013068175
Recent empirical work documents large liquidity risk premiums in stock markets. We calculate the liquidity risk premiums demanded by large investors by solving a dynamic portfolio choice problem with stochastic price impact of trading, CRRA utility and a time-varying investment opportunity set....
Persistent link: https://www.econbiz.de/10013002062
longevity linked securities, and reveals an unexpected predictability pattern. The empirical valuation of the market price of …
Persistent link: https://www.econbiz.de/10013018475
We analyze changes in portfolios of pension funds since the start of current low interest rate environment. We find that they have on average decreased the allocation to equity and increased the allocation to fixed income, which is inconsistent with the literature on strategic asset allocation....
Persistent link: https://www.econbiz.de/10012994240
for the annuity puzzle, arbitrage between the annuity and life insurance markets, and speculation on expected longevity …
Persistent link: https://www.econbiz.de/10013072726
Standard factor models imply a linear relationship between expected returns on assets and their factor exposures. We provide the asymptotic properties of factor-model-based expected return estimators for individual assets and show that exploiting this linear relationship leads to precision gains...
Persistent link: https://www.econbiz.de/10012969479
This paper proposes a structural approach to long-horizon asset allocation. In particular, the investor draws inferences about asset returns from a vector autoregression (VAR) with economic restrictions on the intercept, slope, and covariance matrix implied by the long-run risk model of Bansal...
Persistent link: https://www.econbiz.de/10013107285
We develop a structural econometric model to elicit household-specific expectations about future financial asset returns and risk attitudes by using data on observed portfolio holdings and self-assessed willingness to bear financial risk. Our framework assumes that household portfolios are...
Persistent link: https://www.econbiz.de/10013027836
This paper assesses the sophistication of pension funds’ investment policies using data on 748 Dutch pension funds during the 1999–2006 period. We develop three indicators of sophistication: gross rounding of investment choices, investments in alternative sophisticated asset classes and...
Persistent link: https://www.econbiz.de/10014200846
The paper investigates risk attitudes among different types of individuals. We use several di erent measures of risk attitudes, including questions on choices between uncertain income streams suggested by Barsky et al. (1997) and a number of ad hoc measures. As in Barsky et al. (1997) and...
Persistent link: https://www.econbiz.de/10014203502