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Financial returns to collecting rare political economy books
Ursprung, Heinrich W. - 2021
books of classical literature. Compared with other collectibles such as fine art, investing in rare books turns out to be …
Persistent link: https://www.econbiz.de/10012437910
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Speculative Bubbles under Supply Constraints, Background Risk and Investment Fraud in the Art Market
Bernales, Alejandro - 2020
We examine the unexplored effects on art markets of artist death (asset supply constraints), collectors' wealth (background risk) and forgery risk (risk of investment fraud), under short-sale constraints and risk aversion. Speculative bubbles emerge and have the form of an option strangle (a put...
Persistent link: https://www.econbiz.de/10012850113
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Residual Variance and Asset Pricing in the Art Market
Mei, Jianping; Moses, Michael; Zhou, Yi - 2022
In this paper, we compute residual variance of art prices to examine asset pricing in contemporary art market. Our empirical work shows a few interesting results. First, we discover that the residual variance is significantly and positively related to the average price level achieved by an...
Persistent link: https://www.econbiz.de/10013292595
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When a master dies: speculation and asset float
Pénasse, Julien; Renneboog, Luc; Scheinkman, José … - 2020
The death of an artist constitutes a negative shock to his future production; it permanently decreases the artist's float. We use this shock to test predictions of speculative trading models with short-selling constraints. Symmetrically to Hong et al. (2006), where an increase in float decreases...
Persistent link: https://www.econbiz.de/10012233216
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Collectibles Tokenization & Optimal Security Design
Vorsatz, Blair - 2020
I develop a model of collectibles tokenization to understand whether recent tokenization efforts create or destroy … value. While issuing divisible security tokens against illiquid collectibles lowers transaction costs and facilitates … explaining limited adoption. Instead, renting the viewing rights would make tokenization welfare-improving. While collectibles …
Persistent link: https://www.econbiz.de/10012846325
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Aggregate Return on Investment and Investment Decisions : A Cash-Flow Perspective
Magni, Carlo Alberto - 2011
The recent notion of Average Internal Rate of Return (AIRR) [Magni 2010, The Engineering Economist, 55(2), 150-180] completely solves the long-standing problem of the internal rate of return (IRR). While the AIRR is a return measure, this paper presents a cash-flow measure, namely the ratio of...
Persistent link: https://www.econbiz.de/10013133200
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Reconsidering Returns
Hartzmark, Samuel M. - 2020
Investors' perception of performance is biased because the relevant measure, returns, is rarely displayed. Major indices ignore dividends, inducing mechanical underperformance on ex-dividend days. Newspapers are more pessimistic on these days, consistent with mistaking the index for a return....
Persistent link: https://www.econbiz.de/10012853729
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Investment Returns to Quality in Developed Markets
Ramraika, CFA, Baijnath - 2014
Quality, defined as companies with high returns on capital, good quality of earnings, and low leverage, has substantial superior investment return predictability. Quality firms as selected by our strategy generate substantially superior returns even though they are significantly larger than the...
Persistent link: https://www.econbiz.de/10013044470
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q5
Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu - 2018
In a multiperiod investment framework, firms with high expected growth earn higher expected returns than firms with low expected growth, holding investment and expected profitability constant. This paper forms cross-sectional growth forecasts, and constructs an expected growth factor that yields...
Persistent link: https://www.econbiz.de/10011969143
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The Zeeman Effect in Finance : Libor Spectroscopy and Basis Risk Management
Bianchetti, Marco - 2012
Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA); that...
Persistent link: https://www.econbiz.de/10013113679