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International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk
Schindler, Felix; Kröncke, Tim-Alexander - 2011
This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the...
Persistent link: https://www.econbiz.de/10010305940
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Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches
Wolff, Dominik; Bessler, Wolfgang; Opfer, Heiko - 2012
The Black-Litterman (BL) model aims to enhance asset allocation decisions by overcoming the weaknesses of standard mean-variance (MV) portfolio optimization. In this study we implement the BL model in a multi-asset portfolio context. Using an investment universe of global stock indices, bonds,...
Persistent link: https://www.econbiz.de/10010310087
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Investment funds, monetary policy, and the global financial cycle
Kaufmann, Christoph - 2020
This paper studies the role of international investment funds in the transmission of global financial conditions to the euro area using structural Bayesian vector auto regressions. While cross-border banking sector capital ows receded significantly in the aftermath of the global financial...
Persistent link: https://www.econbiz.de/10012287861
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Interconnectedness in the global financial market
Raddant, Matthias; Kenett, Dror - 2016
The global financial system is highly complex, with cross border interconnections and interdependencies. As such, financial shocks and events can easily spillover and propagate throughout the entire system. In this highly interconnected environment, local events can be easily amplified and...
Persistent link: https://www.econbiz.de/10011527687
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US International Equity Investment and Economic Fundamentals
Hasler, Nicole - 2016
Applying portfolio-based techniques to US foreign equity portfolio holdings, this paper studies the global investment behaviour of US investors. Taking wealth effects into account, we analyse active allocation decisions of investors. Using an updated data set by Bertaut and Tryon (2007) and...
Persistent link: https://www.econbiz.de/10011527967
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Demography, Capital Flows and Asset Allocation over the Life-cycle
Mann, Katja; Davenport, Margaret - 2016
This paper studies the effect of population aging on portfolio choice, asset prices and international asset trades. In a multi-period OLG model, we analyze how an increase in longevity or a decrease in fertility in a country affects the demand for safe and risky assets. In a closed economy,...
Persistent link: https://www.econbiz.de/10011528075
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Elections and the public expenditure mix
Barreira, Ana; Baleiras, Rui Nuno - 2004
The paper presents an intertemporal utility model that determines the effects of elections on the public expenditure … elections: the incumbent’s concern with her future utility in the case of defeat. We provide data to suggest that both central …. Keywords: Political Budget Cycles, Public Expenditure, Elections. …
Persistent link: https://www.econbiz.de/10011318881
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Politics and the geographic allocation of public funds in a semi-democracy: The case of Ghana, 1996-2004.
André, Pierre; Mesplé-Somps, Sandrine - 2011
The body of literature on purely democratic countries can sometimes fail to explain the behavior of government in semi-democratic African countries. Empirical and theoretical political economic papers and that public funds target ruling party supporters and swing districts. Our results, however,...
Persistent link: https://www.econbiz.de/10010305592
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Incentives dominate selection: Chamber-changing legislators are driven by electoral rules and voter preferences
Portmann, Marco; Stadelmann, David; Eichenberger, Reiner - 2019
The role of electoral incentives vs. selection is ideally analyzed in a setting where the same legislators are selected to decide on policies under different electoral rules and where voter preferences on policies can be precisely measured. This is the first paper to look at such a situation....
Persistent link: https://www.econbiz.de/10012099121
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Elections and externalities of health expenditures: Spatial patterns and opportunism in the local budget allocation
Ferreira, Jorge; Alves, Alexandre; Caldeira, Emilie - 2016
, electoral years, central-elections years and local-elections years. Our contribution to the literature lies in three findings … and local elections. In other words, we found a positive spillover effect in the public health spent at the local level … channels of this spatial dependence. A second issue is that elections are strong enough to change the allocation pattern in …
Persistent link: https://www.econbiz.de/10011790096