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Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium

Donaldson, Glen; Kamstra, Mark; Kramer, Lisa - 2003

The equity premium of interest in theoretical models is the extra return investors anticipate when purchasing risky stock instead of risk-free debt. Unfortunately, we do not observe this ex ante premium in the data; we only observe the returns that investors actually receive ex post, after they...

Persistent link: https://www.econbiz.de/10010397539

Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio

Robotti, Cesare - 2003

In this paper, I study the behavior of an investor with unit risk aversion who maximizes a utility function defined over the mean and the variance of a portfolio's return. Conditioning information is accessible without cost and an unconditionally riskless asset is available in the market. ; The...

Persistent link: https://www.econbiz.de/10010397641

Benefits of relationship banking: Evidence from consumer credit markets

Agarwal, Sumit; Chomsisengphet, Souphala; Liu, Chunlin; … - 2009

This paper empirically examines the benefits of relationship banking to banks, in the context of consumer credit markets. Using a unique panel dataset that contains comprehensive information about the relationships between a large bank and its credit card customers, we estimate the effects of...

Persistent link: https://www.econbiz.de/10010292093

Estimating aggregate capital stocks using the perpetual inventory method: New empirical evidence for 103 countries

Berlemann, Michael; Wesselhöft, Jan-Erik - 2012

The lack of internationally comparable capital stock data has been a major obstacle to empirical studies of the contribution of the capital stock to economic growth. In this paper, we provide estimations of aggregate capital stocks for 103 countries in 2010. Depending on data availability the...

Persistent link: https://www.econbiz.de/10010292646

An integrated CVaR and real options approach to investments in the energy sector

Fortin, Ines; Fuss, Sabine; Hlouskova, Jaroslava; … - 2007

this new framework to investments in the electricity sector. In particular, a real options model is used to assess the …

Persistent link: https://www.econbiz.de/10010294022

Investments and the holdup problem in a matching market

Bester, Helmut - 2009

frictions, both parties in a match are partially locked-in when they bargain over the joint surplus from their sunk investments … case of investments in homogenous capital only the agents on the short side acquire ownership of capital. There is always …

Persistent link: https://www.econbiz.de/10010299160

Mobile network interconnection and investments

Veith, Tobias - 2009

Abstract In markets with competing interconnected networks like mobile telecommunication markets investments affect the … investor’s and also any competitors’ profits. In a theoretical model it is shown that cost-reducing investments reduce the …, investments increase off-net traffic from the investor’s network but also from competitors’ networks. Regulation changes the …

Persistent link: https://www.econbiz.de/10010299497