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We examine here the risk-adjusted performance of European mutual funds offered in Germany which invest in euro-denominated investment grade corporate bonds. The funds are evaluated employing a single-index model and several multi-index and asset-class-factor models. In order to account for the...
Persistent link: https://www.econbiz.de/10005857719
Bayesian Model Averaging (BMA) has recently been discussed in the financial literature as an effective way to account for model uncertainty. In this paper we compare BMA to a new model uncertainty framework introduced by Yang (2004), called Aggregate Forecasting Through Exponential Reweighting,...
Persistent link: https://www.econbiz.de/10005858532
Theories of investment suggest that the option value of waiting to invest is significant in many branches of economics, where investment is irreversible. The existing literature has generally failed to account for the general equilibrium feedback effects of lumpy investments on optimal...
Persistent link: https://www.econbiz.de/10005858793
The disposition effect is the observation that investors hold winning stocks too long and sell losing stocks too early. A standard explanation of the disposition effect refers to prospect theory and in particular to the asymmetric risk aversion according to which investors are risk averse when...
Persistent link: https://www.econbiz.de/10005858770
This paper focuses on indivisible multiple-cost-single-benefit projects that must be approved by the government. A simple mechanism is proposed that ensures an efficient and fair implementation of such projects. The proposed mechanism is appropriate for a unilateral information structure: the...
Persistent link: https://www.econbiz.de/10010336002
How important is financial development for economic development? A costly state verification modelof financial intermediation is presented to address this question. The model is calibrated to match factsabout the U.S. economy, such as intermediation spreads and the firm-size distribution for the...
Persistent link: https://www.econbiz.de/10005870315
This paper develops a model of corporate investment and financing decisions thatdiffers from previous contributions by recognizing that firms face uncertainty regardingtheir future access to credit markets and may have to search for creditors when raisingdebt financing. We show that accounting...
Persistent link: https://www.econbiz.de/10009305075
We revisit the debt overhang question. We first use non-parametric techniques to isolate a panel of countries on the downward sloping section of a debt Laffer curve. In particular, overhang countries are ones where a threshold level of debt is reached in sample, beyond which (initial) debt ends...
Persistent link: https://www.econbiz.de/10005858241
Innerhalb des Bankmanagements hat die sogenannte Marktzinsmethode zentrale Bedeutung erlangt. Der Vorschlag, diesen Ansatz auch auf die Analyse betrieblicher Realinvestitionen zu übertragen, liess eine Grundsatzdiskussion über die Zweckmäßigkeit eines solchen Vorgehens entstehen...
Persistent link: https://www.econbiz.de/10005857045
This paper concerns the distributional assumptions made on stock returns in the myopic loss aversion (MLA) proposed explanation to the equity premium puzzle. While Benartzi and Thaler (1995) assume temporal independence in these returns, we introduce a more realistic assumption incorporating...
Persistent link: https://www.econbiz.de/10010321544