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Diese Dissertation (dt.: Einbeziehung von Modellunsicherheit in das Selektionsproblem von Schätzern für erwartete Renditen) beschäftigt sich mit der Unsicherheit aus einer Vielzahl verfügbarer Schätzer für latente erwartete Renditen den korrekten Schätzer auszuwählen. Anhand des...
Persistent link: https://www.econbiz.de/10010463816
This paper examines the determinants of private equity activity across Europe. We analyze a total of 43 explanatory variables, categorized into six groups: Economy; Finance and capital markets; Quality of institutions; Life quality; Economic freedom and Globalization. We assess their impact on...
Persistent link: https://www.econbiz.de/10015069526
We explore the relationship between sticky wages and risk. Like operating leverage, sticky wages are a source of risk for the firm. Firms, industries, regions, or times with especially high or rigid wages are especially risky. If wages are sticky, then wage growth should negatively forecast...
Persistent link: https://www.econbiz.de/10009697776
We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway's administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their...
Persistent link: https://www.econbiz.de/10011864456
We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway's administrative tax records. We document a number of novel results. First, individuals earn markedly different average returns on their net worth (a standard...
Persistent link: https://www.econbiz.de/10012030523
Persistent link: https://www.econbiz.de/10010361315
Using a stylized two-period model we compare portfolio solutions from two local solution approaches - the approach of Judd and Guu (2001) and the approach of Devereux and Sutherland (2010, 2011) - with the true nonlinear portfolio solution.
Persistent link: https://www.econbiz.de/10010406866
We study how investors respond to inflation combining a customized survey experiment with trading data at a time of historically high inflation. Investors' beliefs about the stock return-inflation relation are very heterogeneous in the cross section and on average too optimistic. Moreover, many...
Persistent link: https://www.econbiz.de/10014544748
Persistent link: https://www.econbiz.de/10010361310
This paper examines the welfare cost of rare housing disasters characterized by large drops in house prices. I construct an overlapping generations general equilibrium model with recursive preferences and housing disaster shocks. The likelihood and magnitude of housing disasters are inferred...
Persistent link: https://www.econbiz.de/10011302010