Similar Search Results

Diversification in euro area stock markets

Moerman, Gerard - 2004

-hype and different volatility regimes. This contrasts with e.g. Rouwenhorst (1999), who finds, based on a different methodology …

Persistent link: https://www.econbiz.de/10009636550

Optimal dynamic risk sharing when enforcement is a decision variable

Koeppl, Thorsten V. - 2003

decision problem of using self-governance for risk sharing or governance through enforcement provided by these institutions … prevent ﬁrst-best risk sharing, but never optimal to provide incentives exclusively via this technology. Commitment problems …

Persistent link: https://www.econbiz.de/10009635888

Myopic loss aversion, disappointment aversion, and the equity premium puzzle

Fielding, David; Stracca, Livio - 2003

This paper takes a close look at the 'behavioural finance' explanations of the equity premium puzzle, namely myopic loss aversion (Benartzi and Thaler, 1995) and disappointment aversion (Ang, Bekaert and Liu, 2000). The paper proposes a simple specification of loss and disappointment aversion...

Persistent link: https://www.econbiz.de/10009639864

Finance and diversification

Manganelli, Simone; Popov, Alexander - 2010

aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long … faster for sectors that have a higher "natural" long-term risk-adjusted growth and which exhibit higher information frictions …

Persistent link: https://www.econbiz.de/10009640281

Investors with too many options?

Dorn, Daniel - 2010

During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these markets, investors often face a choice between many instruments that differ only slightly from each other. Based on retail trades in call options on the German DAX index, this...

Persistent link: https://www.econbiz.de/10009640343

Should larger reserve holdings be more diversified?

Beck, Roland; Weber, Sebastian - 2010

The notable increase in international reserve holdings over the past decade and their use during the global financial crisis of 2008/2009 has sparked renewed interest in the analysis of the optimal level of reserve holdings, in particular in countries which are subject to sudden stops. Less...

Persistent link: https://www.econbiz.de/10009640347

Risk spillover among hedge funds

Klaus, Benjamin; Rzepkowski, Bronka - 2009

particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other … funds has affected the probability of fund failure. We find that risk spillover is significantly related to the failure … within the same investment style are adversely affected through both channels of risk spillover. In addition, we find that …

Persistent link: https://www.econbiz.de/10009640467

Who lost the most?

Bucher-Koenen, Tabea; Ziegelmeyer, Michael - 2011

We study how and to what extent private households are affected by the recent financial crisis and how their financial decisions are in uenced by this shock. Our analysis reveals that individuals with low levels of financial literacy are less likely to have invested in the stock market and thus...

Persistent link: https://www.econbiz.de/10009640632

Who invests in home equity to exempt wealth from bankruptcy?

Corradin, Stefano; Gropp, Reint; Huizinga, Harry; … - 2011

Homestead exemptions to personal bankruptcy allow households to retain their home equity up to a limit determined at the state level. Households that may experience bankruptcy thus have an incentive to bias their portfolios towards home equity. Using US household data from the Survey of Income...

Persistent link: https://www.econbiz.de/10009640776

Household's portfolio structure in Germany

Ramb, Fred; Scharnagl, Michael - 2011

. Descriptive analysis shows that all financial assets were characterized by substantial volatility of their weight in the portfolio …

Persistent link: https://www.econbiz.de/10009640844