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Evolution and market behavior with endogenous investment rules

Bottazzi, Giulio; Dindo, Pietro - 2010

investment rules that depend on endogenously determined current and past prices. We find that market instability, leading to …, conditioning investment decisions on asset prices implies that dominance of an investment rule on others, as measured by the … relative entropy, can be different at different prevailing prices thus reducing the global selective capability of the market …

Persistent link: https://www.econbiz.de/10008729026

The private equity premium puzzle revisited

Kartashova, Katya - 2011

In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors' methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989 - 1998 and...

Persistent link: https://www.econbiz.de/10008841171

Selection in asset markets : the good, the bad, and the unknown

Bottazzi, Giulio; Dindo, Pietro - 2011

, then market rewards the best informed agent. As a result asset prices eventually reflect this information and the market … unitary coefficients, anything can happen and the informational content of long-run prices strongly depend on the ecology of …

Persistent link: https://www.econbiz.de/10009009683

The Performance of US Bond Mutual Funds

Clare, Andrew - 2019

We evaluate the performance of the US bond mutual fund industry using a comprehensive sample of bond funds over a long time period from January 1998 to February 2017. In this one study, we examine bond fund selectivity, market timing and performance persistence. We evaluate bond funds relative...

Persistent link: https://www.econbiz.de/10012890281

Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets

Balcilar, Mehmet - 2019

This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar index futures and the commodity price index. The focus of the study is to analyze effects of Fed's unconventional monetary policy on the US financial markets. We use realized...

Persistent link: https://www.econbiz.de/10012893224

A cross-country comparison of old-age financial readiness in Asian countries versus the United States : the case of Japan and the Republic of Korea

Ehrlich, Isaac; Yin, Yong - In: Asian development review : studies of Asian and pacific … 39 (2022) 1, pp. 5-50

We pursue a cross-country comparison of relative financial readiness of older households in Japan and the Republic of Korea relative to the United States. Our comparative analysis, using macro-level and harmonized longitudinal household financial data, covers the principal financial channels of...

Persistent link: https://www.econbiz.de/10013329395

Intra-Day Realized Volatility for European and USA Stock Indices

Degiannakis, Stavros Antonios - 2019

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot which minimizes the micro-structure...

Persistent link: https://www.econbiz.de/10012897936

Dynamic Term Structure Models : The Best Way to Enforce the Zero Lower Bound in the United States

Andreasen, Martin M. - 2015

This paper studies whether dynamic term structure models for US nominal bond yields should enforce the zero lower bound by a quadratic policy rate or a shadow rate specification. We address the question by estimating quadratic term structure models (QTSMs) and shadow rate models (SRMs) with at...

Persistent link: https://www.econbiz.de/10013014541

A new survey of the U.S. bilateral repo market : a snapshot of broker-dealer activity

Baklanova, Viktoria; Caglio, Cecilia; Cipriani, Marco; … - 2016

We provide aggregate statistics on U.S. dealers' bilateral repurchase agreements and economically equivalent securities lending activities. The data were collected from the U.S.-affiliated securities dealers of nine bank holding companies under a voluntary pilot program run by the Office of...

Persistent link: https://www.econbiz.de/10011413234

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

Persistent link: https://www.econbiz.de/10003821063

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