Showing 1 - 10 of 3,280
This paper studies why investors buy dividend-paying assets and how they time their consumption accordingly. We combine administrative bank data linking customers' consumption transactions and income to detailed portfolio data and survey responses on financial behavior. We find that private...
Persistent link: https://www.econbiz.de/10012223798
Persistent link: https://www.econbiz.de/10013258864
This paper looks at the reversals in global financial integration through the funding liquidity lens. First, we construct a segmentation indicator based on differences in funding liquidity across countries as measured by the performance of betting-against-beta strategies. Second, we find that...
Persistent link: https://www.econbiz.de/10014122252
frequency for six major markets and use them to test the model-predicted effect of funding conditions on asset prices …
Persistent link: https://www.econbiz.de/10014122253
Using a time-varying spillover approach, we investigate volatility spillovers between natural alternative investments, i.e. timber and water, and a battery of traditional instruments comprising equities, bonds, crude oil, gold, real estate, shipping and currency, for the period...
Persistent link: https://www.econbiz.de/10014084609
This paper investigates the seasonality patterns within various asset classes. We find that a strategy that buys the assets with the largest same-calendar-month past average returns (up to ten years) and sells the assets with the smallest same-calendar-month past average returns, earns...
Persistent link: https://www.econbiz.de/10013002295
The observed international home bias has traditionally been viewed as an anomaly. This paper provides statistical evidence contrary to this view within a mean-variance framework. Two methods of estimating the expected return and covariance parameters are investigated: (i) the traditional...
Persistent link: https://www.econbiz.de/10013004325
We investigate whether structurally hedging the currency risk of global equity products benefits long-term investors. Based on a 35 year back-test of 3 smart beta strategies from 6 currency perspectives, our answer is a qualified “yes”. Currency hedging was effective in reducing risk and...
Persistent link: https://www.econbiz.de/10013005678
investing;- work with the factors that drive asset returns as a portfolio construction tool;- change the investment models they …
Persistent link: https://www.econbiz.de/10013006749
. We test our approach using 38 years of daily historical prices in a broad set of futures contracts and major FX rates …
Persistent link: https://www.econbiz.de/10013006973