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Risky assets in Europe and the US : risk vulnerability, risk aversion and economic environment
Bekhtiar, Karim; Fessler, Pirmin; Lindner, Peter - 2019
We use cross-country microdata to analyse the risk taking of households in Europe and the US. Concerning the extensive as well as the intensive margin of risky assets, European households differ substantially from US households; but also inside Europe we document substantial differences....
Persistent link: https://www.econbiz.de/10011997521
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Allocating to Thematic Investments
Somefun, Koye; Perchet, Romain; Yin, Chenyang; … - 2021
In this paper we introduce the notion of themes as an additional investment dimension beyond asset classes, regions …
Persistent link: https://www.econbiz.de/10013212526
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The Characteristics of Factor Investing
Blitz, David - 2018
We dissect the realized performance of factor-based equity portfolios using a characteristics-based multi-factor return model. We show that generic single-factor portfolios, which invest in stocks with high scores on one particular factor, are sub-optimal because they ignore the possibility that...
Persistent link: https://www.econbiz.de/10012915593
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Household portfolios in Türkiye : results from the household finance and consumption survey
Ceritoǧlu, Evren; Cilasun, Seyit Mümin; … - In: Central Bank review / Central Bank of the Republic of Turkey 23 (2023) 4, pp. 1-17
This paper analyzes the distribution of household portfolios in Türkiye using a fresh data set, the Central Bank of the Republic of Türkiye - Household Finance and Consumption Survey. The empirical analysis concentrates on the motives behind household saving preferences and the distribution of...
Persistent link: https://www.econbiz.de/10014479723
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Wage risk and portfolio choice : the role of correlated returns
König, Johannes; Longmuir, Maximilian - 2021
From standard portfolio-choice theory it is well-understood that background risk, overwhelmingly due to wage risk, is … investment. We quantify the influence of wage risk on German investors’ financial portfolio shares and find that an increase of …
Persistent link: https://www.econbiz.de/10012623685
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Capital income taxation and risk taking under prospect theory
Hlouskova, Jaroslava; Tsigaris, Panagiotis Demetrios - 2012
; portfolio choice ; prospect theory ; loss aversion ; reference level ; taxation …This research examines capital income taxation for a loss averse investor under some acceptable in the literature … the attractive full loss offset provisions. However, risk taking can be stimulated if the investor interprets part of the …
Persistent link: https://www.econbiz.de/10009684798
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Capital income taxation and risk taking under prospect theory
Hlouskova, Jaroslava; Tsigaris, Panagiotis Demetrios - 2012
Persistent link: https://www.econbiz.de/10009567510
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Investing in Crises
Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021
We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2016. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find that returns of equity and other asset classes often underperform following...
Persistent link: https://www.econbiz.de/10013242872
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Value investing in the stock market of Thailand
Alfonso Perez, Gerardo Gerry - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-12
Value investment and growth investment have attracted a large amount of research in recent decades, but most of this … underdeveloped, particularly when compared to markets such as the U.S. Hence, its behavior regarding value versus growth investment …
Persistent link: https://www.econbiz.de/10011760317
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Risk Conscious Investment
Madan, Dilip B.; Schoutens, Wim; Wang, King - 2022
The risk conscious investor is defined as the maximizer of a conservative valuation or dynamically a nonlinear expectation. Both the static and dynamic problems are addressed using distortions of tail probabilities or distortions of tail measures. The multivariate static problem is solved in the...
Persistent link: https://www.econbiz.de/10013492258