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Do Women Prefer Pink? The Effect of a Gender Stereotypical Stock Portfolio on Investing Decisions
Prast, Henriette - 2014
We investigate whether lack of familiarity may contribute to an explanation of the gender gap in stock market participation and risk taking. We use ads in widely read women magazines to select companies that we assume to be more familiar to women than to men, and construct a “pink”...
Persistent link: https://www.econbiz.de/10013056439
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The Joint Cross Section of Stocks and Options
An, Byeong-Je - 2014
Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...
Persistent link: https://www.econbiz.de/10013062479
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Agency Problems in Target-Date Funds
Sandhya, Vallapuzha - 2011
their return performance and their flow-performance relation. We find that TDFs under-perform balanced funds (BFs) which are … also approved as a default option along with TDFs in 401(k) plans. We show that the under-performance is driven by TDFs … that have a fund-of-fund structure which invests in funds with high expense ratios and low performance within the fund …
Persistent link: https://www.econbiz.de/10014183128
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Optimal Capital Structure for Insurance Companies
Laeven, Roger J. A. - 2011
This paper analyzes the capital structure decision that insurance companies face. A structural microeconomic model is constructed and solved by means of dynamic optimization. The model allows for a careful analysis of various aspects pertaining to the basic economic trade-off between increasing...
Persistent link: https://www.econbiz.de/10013132014
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Asset Pricing in the Dark : The Cross Section of OTC Stocks
Ang, Andrew - 2013
Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared to premiums in listed markets, the OTC illiquidity...
Persistent link: https://www.econbiz.de/10013093551
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Does Money Grow on Trees? The Diversification Properties of US Timberland Investments
Spierdijk, Laura - 2009
This paper quantifies the diversification potential of timberland investments in a mean-variance framework. The starting point is a broad set of benchmark assets represented by various indexes. Including publicly traded timberland investments from the US and Canada in the portfolio does not...
Persistent link: https://www.econbiz.de/10013154108
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Network Centrality and Delegated Investment Performance
Rossi, Alberto G. - 2016
We document a positive relation between network centrality and risk-adjusted performance in a delegated investment … performance …
Persistent link: https://www.econbiz.de/10012997314
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Excess Based Allocation of Risk Capital
van Gulick, Gerwald - 2011
In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set of portfolios is defined as the expected loss...
Persistent link: https://www.econbiz.de/10013127524
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Investor Inattention : A Hidden Cost of Choice in Pension Plans?
Dahlquist, Magnus - 2011
investors. Unlike retail mutual fund investors, pension investors do not seem to react to past fund performance. This behavior …
Persistent link: https://www.econbiz.de/10013132013
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Pension Fund Governance : The Intergenerational Conflict Over Risk and Contributions
Hollanders, David - 2011
Many pension funds have a mismatch between assets and liabilities, taking more risks than securing liabilities implies. This puts fixed claims of retirees at risk. For the cases with and without macro-risk, this paper analyses the implications of this asset-liability mismatch for welfare,...
Persistent link: https://www.econbiz.de/10013132403