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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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Investing in a Multidimensional Market
Jacobs, Ph.D., Bruce I. - 2020
Many years ago, the authors demonstrated that there is much greater dimensionality to the stock market than is suggested by the one-factor capital asset pricing model. Investors today continue to underestimate the market's dimensionality through their recent embrace of “smart beta”...
Persistent link: https://www.econbiz.de/10012856488
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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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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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Heterogeneity and risk sharing in village economies
Chiappori, Pierre-André; Krislert Samphantharak; … - In: Quantitative economics : QE ; journal of the … 5 (2014) 1, pp. 1-27
preferences. Full insurance cannot be rejected. As the risk-sharing as-if-complete-markets theory might predict, estimated risk …
Persistent link: https://www.econbiz.de/10011757115
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Trends in household portfolio composition
Bricker, Jesse; Moore, Kevin; Thompson, Jeffrey P. - 2019 - This version: September 2019
We use data from the Federal Reserve Board's Survey of Consumer Finances (SCF) to explore how household asset portfolios in the United States evolved between 1989 and 2016. Throughout this period, two key assets - housing and financial market assets - drove the household balance sheet evolution;...
Persistent link: https://www.econbiz.de/10012118968
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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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What are investors afraid of? : finding the big bad wolf
Alemanni, Barbara; Uberti, Pierpaolo - In: International Journal of Financial Studies : open … 7 (2019) 3/42, pp. 1-12
allocation. Loss aversion per se is a relevant variable in explaining financial risk-taking. …
Persistent link: https://www.econbiz.de/10012039641