Showing 61 - 70 of 15,221
Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor's decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time-varying probabilities...
Persistent link: https://www.econbiz.de/10008628421
This paper addresses the questions whether European mutual fund managers rely on sell-side analyst information and whether this behavior impacts fund performance. Results show that mutual funds significantly increase (decrease) their holdings in stocks when any of the consensus forecast measures...
Persistent link: https://www.econbiz.de/10010679251
We find that the aggregate asset allocation decisions of US mutual fund investors depend on economic conditions. Both anticipated economic downturns and periods of turmoil lead investors to direct flow away from risky equity funds and towards lower-risk money market funds. These patterns are...
Persistent link: https://www.econbiz.de/10010682610
Los recientes marcos regulatorios del sector financiero y asegurador otorgan una creciente importancia a la gestión de riesgos. El regulador exige a las entidades que dispongan de un capital reservado para hacer frente a posibles pérdidas derivadas de sus actividades; este capital se...
Persistent link: https://www.econbiz.de/10010665026
This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced—or has failed to influence—federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH has...
Persistent link: https://www.econbiz.de/10010603964
This paper analyses the role of the elderly couples’ past marital history in determining their current wealth holdings and portfolio allocation using data from the first wave of the Health and Retirement Study. The results suggest that, for those who remarry after divorce, there is recovery...
Persistent link: https://www.econbiz.de/10004968013
Economic theory predicts that earnings uncertainty increases precautionary saving and causes households to include relatively liquid assets in their portfolios. Risk avoidance and the demand for liquidity cause these portfolio choices. Studies investigating United States evidence of...
Persistent link: https://www.econbiz.de/10004968806
In this paper we develop a portfolio optimization strategy based on the extraction of option-implied distributions and the application of robust asset allocation. We compute the option-implied probability density functions of the constituents of the Euro Stoxx 50 Index. To obtain the...
Persistent link: https://www.econbiz.de/10011099724
Gone are the days when inflation fears had receded under years of 'Great Moderation' in macroeconomics. The US subprime financial crisis, the ensuing 'Great Recession' and the sovereign debt scares that spread throughout much of the industrialized world brought about a new order characterized by...
Persistent link: https://www.econbiz.de/10011108246
Combination of asset allocation models is rewarding if (i) the applied risk function is concave and (ii) there is no dominating model. We show that most common risk functions are either concave or at least concave in common applications. In a comprehensive empirical study using standard asset...
Persistent link: https://www.econbiz.de/10011165493