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Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Schied, Alexander; Schoeneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2008
liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal … of the position but increasing in the liquidity price impact. …
Persistent link: https://www.econbiz.de/10005623263
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Risk Taking by Mutual Funds as a Response to Incentives.
Chevalier, J.; Ellison, G. - Economics Department, Massachusetts Institute of … - 1996
This paper examines the agency conflict between mutual fund investors and mutual fund companies. Investors would like the fund company to use its judgment to maximize risk-adjusted fund returns. A fund company, however, in its desire to maximize its value as a concern has an incentive to take...
Persistent link: https://www.econbiz.de/10005749047
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Size and liquidity effects in Nigeria: an industrial sector study
Hearn, Bruce - Volkswirtschaftliche Fakultät, … - 2013
This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital … of Nigeria. The evidence suggests that liquidity factors are relevant only for financial and basic materials sector …
Persistent link: https://www.econbiz.de/10011108128
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U.K. cross-sectional equity data: The case for robust investability filters
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2012
We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...
Persistent link: https://www.econbiz.de/10011112881
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Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …
Persistent link: https://www.econbiz.de/10011258000
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Optimal Portfolio Liquidation for CARA Investors
Schied, Alexander; Schöneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2007
absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and …
Persistent link: https://www.econbiz.de/10005835745
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A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?
So, Eric C. - In: Journal of Financial Economics 108 (2013) 3, pp. 615-640
I provide evidence that investors overweight analyst forecasts by demonstrating that prices do not fully reflect predictable components of analyst errors, which conflicts with conclusions in prior research. I highlight estimation bias in traditional approaches and develop a new approach that...
Persistent link: https://www.econbiz.de/10010665566
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How Domestic is the Fama and French Three-Factor Model? An Application to the Euro Area
Moerman, Moerman, G.A. - Erasmus Research Institute of Management (ERIM), … - 2005
The euro area has faced a high number of monetary and policy changes in the recent past as a consequence of the European integration process and, naturally, these developments have important implications for portfolio diversification and asset pricing. Therefore, this paper concentrates on the...
Persistent link: https://www.econbiz.de/10010731136
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Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries
Juan Pablo Domínguez H. - In: Economía 32 (2007) 23, pp. 63-90
Expected returns and risk assessment are important issues when evaluating capital investment projects. We use VARX-MGARCH models and asset pricing theory to model the expected rate of return in Brazil, Colombia, Mexico and Peru for late 2006. The main objective of this paper is to present an...
Persistent link: https://www.econbiz.de/10004994430
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Liquidity and Asset Prices
Amihud, Yakov; Mendelson, Haim; Pedersen, Lasse Heje - Volkswirtschaftliche Fakultät, … - 2005
We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that … test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical … studies find the effects of liquidity on asset prices to be statistically significant and economically important, controlling …
Persistent link: https://www.econbiz.de/10008645110