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Efficient probit estimation with partially missing covariates
Conniffe, Denis; O'Neill, Donal - 2009
A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...
Persistent link: https://www.econbiz.de/10010269313
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Heterogeneous Risk Preferences and the Welfare Cost of Business Cycles
Schulhofer-Wohl, Sam - 2007
others. Relatively more risk-averse people buy insurance against aggregate risk, and relatively less risk-averse people sell … insurance. These trades reduce the welfare cost of business cycles for everyone. Indeed, the least risk-averse people benefit … small welfare losses. In other words, when there are complete insurance markets, aggregate uctuations in consumption are …
Persistent link: https://www.econbiz.de/10010282644
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Risk attitudes and investment decisions across European countries: are women more conservative investors than men?
Badunenko, Oleg; Barasinska, Nataliya; Schäfer, Dorothea - 2009
This study questions the popular stereotype that women are more risk averse than men in their financial investment decisions. The analysis is based on micro-level data from large-scale surveys of private households in five European countries. In our analysis of investment decisions, we directly...
Persistent link: https://www.econbiz.de/10010291778
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Geldanlage: Frauen sind vorsichtiger als Männer - weil sie weniger Vermögen haben
Badunenko, Oleg; Barasinska, Nataliya; Schäfer, Dorothea - In: DIW Wochenbericht 76 (2009) 48, pp. 832-836
sei und dass das unterschiedliche Anlageverhalten von Männern und Frauen auf geschlechtspezifische Risikoeinstellungen …
Persistent link: https://www.econbiz.de/10011602096
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Quantifizierbarkeit von Risiken auf Finanzmärkten
Härdle, Wolfgang Karl; Kirchner, Christian Friedrich … - 2009
Die Krise der internationalen Finanzmärkte hat die allgemeine Wahrnehmung für die in diesen Märkten inhärenten Risiken merklich verändert. Glaubten manche Anleger in den Boomphasen der Finanzmärkte, dass sich eine hohe Kapitalrendite mit geringem Risiko verbinden ließe, wenn man nur die...
Persistent link: https://www.econbiz.de/10010270820
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The private equity premium puzzle revisited: new evidence on the role of heterogeneous risk attitudes
Fossen, Frank M. - 2008
The empirical finding that entrepreneurs tend to invest a large share of their wealth in their own firms despite comparably low returns and high risk has become known as the private equity premium puzzle. This paper provides evidence supporting the hypothesis that lower risk aversion of...
Persistent link: https://www.econbiz.de/10010271074
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From animal baits to investors' preference: estimating and demixing of the weight function in semiparametric models for biased samples
Ritov, Ya'acov; Härdle, Wolfgang Karl - 2007
motivated by the estimation the mixing distribution of individual utility functions in the DAX market. …
Persistent link: https://www.econbiz.de/10010274127
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Testing monotonicity of pricing Kernels
Golubev, Yuri; Härdle, Wolfgang Karl; Timofeev, Roman - 2008
The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described by von Neumann and Morgenstern (1944) via a concave utility function, is considered to be a cornerstone of classical economics. Agents prefer a fixed profit over uncertain...
Persistent link: https://www.econbiz.de/10010274135
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Shape invariant modelling pricing kernels and risk aversion
Grith, Maria; Härdle, Wolfgang Karl; Park, Juhyun - 2009
Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...
Persistent link: https://www.econbiz.de/10010274190
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Are momentum traders different? Implications for the momentum puzzle
Menkhoff, Lukas - 2010
This paper examines the puzzlingly high unexploited momentum returns from a new perspective. We analyze characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are 'defined' by their short-term horizon, by a behavioural view on the market and by a...
Persistent link: https://www.econbiz.de/10010270394