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are consistent with theory. We illustrate how the estimates can be used to detect information events in the time series …
Persistent link: https://www.econbiz.de/10012937478
I propose a theory of information production and learning in credit markets in which the incentives to engage in … excessive optimism that fueled booms preceding financial crises and the slow recoveries that followed. In my theory, information … investment in information reducing the quality of information available, an intensive margin. This gives rise to episodes of …
Persistent link: https://www.econbiz.de/10014131465
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This paper revisits the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world. Following the seminal paper by Arifovic (Journal of Political Economy, 104, 1996, 510-541) we investigate a dynamic version of the model in which agents' decision rules are...
Persistent link: https://www.econbiz.de/10011431839
Empirical evidence on the out-of-sample performance of asset-pricing anomalies is mixed so far and arguably is often subject to data-snooping bias. This paper proposes a method that can significantly reduce this bias. Specifically, we consider a long-only strategy that involves only published...
Persistent link: https://www.econbiz.de/10013070191
We consider a cross-calibration test of predictions by multiple potential experts in a stochastic environment. This test checks whether each expert is calibrated conditional on the predictions made by other experts. We show that this test is good in the sense that a true expert - one informed of...
Persistent link: https://www.econbiz.de/10012730968
Due to the lack of descriptive information about the effectiveness of risk management activities, decision-makers often have to rely on (their own) prior experience with these investments. Thus, we propose a novel, feedback-based approach to examine risk management decisions. We simulate...
Persistent link: https://www.econbiz.de/10013019703
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We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618