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Optimal Portfolio Selection: A Note with a VBA Solution
Velez-Pareja, Ignacio; Ávila, Pedro Fabián Castilla; … - MASTER CONSULTORES - 2012
Usually in financial textbooks and courses the theory of portfolio selection is taught in a strictly theoretical way …, given her preference curves and an efficient frontier. On the other hand, the Capital Asset Pricing Model (CAPM) is … practitioners conclude that those models are just inapplicable theory. This is the most rational behavior one can expect. What can …
Persistent link: https://www.econbiz.de/10010762986
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On the Endogeneity of the Mean-Variance Efficient Frontier
Somerville, R. A.; Paul G. J. O’Connell - In: Journal of Economic Education 33 (2002) 4, pp. 357-366
The endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in the portfolio selection literature and in widely used textbooks. The authors demonstrate this endogeneity and discuss the impact of parameter changes on the mean-variance efficient...
Persistent link: https://www.econbiz.de/10005600630
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The Price and Trading Volume Dynamics Relationship in the EEX Power Market: A Wavelet Modeling
Saâdaoui, Foued - In: Computational Economics 42 (2013) 1, pp. 47-69
This paper examines the dynamic relationship between power spot prices and related trading volumes in one of the most emergent energy markets. Traditionally, investigating the bivariate stochastic processes has been dominated by linear econometrical methods that proved helpful especially in...
Persistent link: https://www.econbiz.de/10010989284
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Robust block bootstrap panel predictability tests
Westerlund J.; Smeekes S. - Graduate School of Business and Economics (GSBE), … - 2013
Most panel data studies of the predictability of returns presume that the cross-sectional units are independent, an assumption that is not realistic. As a response to this, the current paper develops block bootstrap-based panel predictability tests that are valid under very general conditions....
Persistent link: https://www.econbiz.de/10010856546
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Negotiation and the clustering of corporate loan spreads
Chaudhry S.M.; Kleimeier S. - Graduate School of Business and Economics (GSBE), … - 2013
Most corporate loans are priced at rounded spreads, e.g. spreads that are a multiple of 25 basis points. Using a sample of 16,598 loan tranches signed by US borrowers between January 1988 and December 2010, this study explores the determinants of such interest rate clustering in the corporate...
Persistent link: https://www.econbiz.de/10010856547
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On the Efficiency of Risks Disclosures: New Evidence from French-Listed Firms
Ghozzi, Mohamed Khaled - Université Paris-Dauphine (Paris IX) - 2005
The purpose of this paper is to study the effect of operational, market and accounting risks disclosures on investors' disagreements about French firms' value. The paper provides evidence on risks reporting efficiency in reducing investors' disagreements about the implication for firm's value of...
Persistent link: https://www.econbiz.de/10010861407
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Does Human Psychology Drive Financial Markets? Evidence from International Markets
Dhaoui, Abderrazak; Khraief, Naceur - In: International Journal of Economics and Empirical … 2 (2014) 3, pp. 100-108
This paper provides the first evidence for empirical tests of the effect of rational expectations as well as behavioral biases, including among other animal spirits such as defined by Akerlof and Shiller (2009) on the variability of trading.We have used daily data for five international capital...
Persistent link: https://www.econbiz.de/10010902142
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The evolution of trading activity in Asian foreign exchange markets
Tsuyuguchi, Yosuke; Wooldridge, Philip - Bank of Japan - 2008
The development of Asian foreign exchange markets has progressed appreciably in recent years. Data from the BIS Triennial Central Bank Survey indicate that the turnover of Asian currencies rose sharply between 2004 and 2007, financial institutions became more important customers, and the...
Persistent link: https://www.econbiz.de/10010907482
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The World Price of Earnings Opacity
Bhattacharya, Utpal; Daouk, Hazem; Welker, Michael - Charles H. Dyson School of Applied Economics and … - 2003
We analyze the financial statements of 58,653 firm-years from 34 countries for the period 1985-1998 to construct a panel data set measuring three dimensions of reported accounting earnings for each country – earnings aggressiveness, loss avoidance, and earnings smoothing. We hypothesize that...
Persistent link: https://www.econbiz.de/10010921217
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Trading Volume and Market Efficiency: An Agent Based Model with Heterogenous Knowledge about Fundamentals
Lespagnol, Vivien; Rouchier, Juliette - HAL - 2014
This paper studies the effect of investor's bounded rationality on market dynamics. In an order driven market, we consider a few-types model where two risky assets are exchanged. Agents differ by their behavior, knowledge, risk aversion and investment horizon. The investor's demand is defined by...
Persistent link: https://www.econbiz.de/10010933931