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Do REITs outperform stocks and fixed-income assets? New evidence from mean-variance and stochastic dominance approaches
Chiang, Thomas C.; Lean, Hooi Hooi; Wong, Wing-keung - In: Journal of Risk and Financial Management 1 (2008) 1, pp. 1-40
This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …
Persistent link: https://www.econbiz.de/10011843211
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A General Framework for Studying Contests
Bastani, Spencer; Giebe, Thomas; Gürtler, Oliver - 2020
We develop a general framework for studying contests, including the well-known models of Tullock(1980) and Lazear & Rosen (1981) as special cases. The contest outcome depends on playersâ efforts and skills, the latter being subject to symmetric uncertainty. The model is tractable, because...
Persistent link: https://www.econbiz.de/10012290544
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The maximum entropy distribution for stochastically ordered random variables with fixed marginals
Kiefer, Nicholas M. - 2009
Stochastically ordered random variables with given marginal distributions are combined into a joint distribution preserving the ordering and the marginals using a maximum entropy formulation. A closed-form expression is obtained. An application is in default estimation for different portfolio...
Persistent link: https://www.econbiz.de/10010292056
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Nonparametric tests for common values in first-price sealed-bid auctions
Haile, Philip A.; Hong, Han; Shum, Matthew - 2003
We develop tests for common values at first-price sealed-bid auctions. Our tests are nonparametric, require observation only of the bids submitted at each auction, and are based on the fact that the winner’s curse arises only in common values auctions. The tests build on recently developed...
Persistent link: https://www.econbiz.de/10010293465
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A new class of ageing distributions
Riese, Martin - 2002
The class of new worse/better than used in expectation on average (NWUEA/NBUEA) distributions is proposed. It is defined by the requirement that for each age t a weighted average of mean residual lives be greater/smaller than the life expectancy at birth. The weights are the shares of ages up to...
Persistent link: https://www.econbiz.de/10010294530
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Skewness preferences and asset selection: An experimental study
Bruenner, Tobias; Levinsk´y, Rene; Qiu, Jianying - 2009
In this paper we experimentally test skewness preferences at the individual level. Several prospects that can be ordered with respect to the third-degree stochastic dominance (3SD) criterion are ranked by the participants of the experiment. We find that the skewness of a distribution has a...
Persistent link: https://www.econbiz.de/10010294775
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Exports, foreign direct investment, and productivity: Evidence from German firm level data
Wagner, Joachim - 2005
This paper presents the first empirical test with German establishment level data of a hypothesis derived by Helpman, Melitz and Yeaple in a model that explains the decision of heterogeneous firms to serve foreign markets either trough exports or foreign direct investment: only the more...
Persistent link: https://www.econbiz.de/10010295451
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Investment certificates under German taxation: Benefit or burden for structured products' performance?
Scholz, Peter; Walther, Ursula - 2010
empirical viewpoint. Previous research analyzed portfoliotheoretical issues, mispricing patterns, and counterparty risk. This …, we use both a risk neutral and a loss averse value function. Individual preferences prove relevant especially for those …
Persistent link: https://www.econbiz.de/10010301716
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Assessing absolute and relative pro-poor growth, with an application to selected African countries
Bibi, Sami; Duclos, Jean-Yves; Verdier-Chouchane, Audrey - 2011
This paper proposes a multidimensional procedure for jointly assessing the absolute and relative pro-poorness of growth. It is also a procedure for testing whether poverty comparisons can be made over classes of indices that incorporate both absolute and relative views of poverty. Besides being...
Persistent link: https://www.econbiz.de/10010306215
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The export-productivity link for Brazilian manufacturing firms
Cirera, Xavier; Lederman, Daniel; Máñez, Juan A.; … - In: Economics: The Open-Access, Open-Assessment E-Journal 9 (2015) 2015-22, pp. 1-31
This paper explores the link between exports and total factor productivity (TFP) in Brazilian manufacturing firms over the period 2000-2008. The Brazilian experience is instructive as it is a case of an economy that expanded aggregate exports significantly, but with stagnant aggregate TFP...
Persistent link: https://www.econbiz.de/10011301392