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The horizon effect of stock return predictability and model uncertainty on portfolio choice: UK evidence

Li, Guangjie - 2009

risky asset, and the UK Treasury bill as the risk free asset in forming the investor's portfolio. We identify the most …

Persistent link: https://www.econbiz.de/10010288809

Anti-dumping regulations: Anti-competitive and anti-export

Collie, David R. - 2008

In a Bertrand duopoly model, it is shown that an anti-dumping regulation can be strategically exploited by the domestic firm to reduce the degree of competition in the domestic market. The domestic firm commits not to export to the foreign market which gives the foreign firm a monopoly in its...

Persistent link: https://www.econbiz.de/10010288814

Inflation, investment and growth: A money and banking approach

Gillman, Max; Kejak, Michal - 2008

. But a seeming puzzle arises of opposite Tobin-like inflation effects because theory indicates a negative Tobin effect when …

Persistent link: https://www.econbiz.de/10010288827

Product differentiation, the volume of trade and profits under Cournot and Bertrand duopoly

Collie, David R. - 2011

This paper analyses how product differentiation affects the volume of trade under duopoly using Shubik-Levitan demand functions rather than the Bowley demand functions used by Bernhofen (2001). The Shubik-Levitan demand functions have the advantage that an increase in product differentiation...

Persistent link: https://www.econbiz.de/10010288828

Risk measurement and management in a crisis-prone world

Wong, Woon K.; Copeland, Laurence - 2008

The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In … particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk … measures, namely Value-at-Risk (VaR) and Expected Shortfall (ES). While ES is found to measure the tail risk contribution …

Persistent link: https://www.econbiz.de/10010288831

Consumption velocity in a cash costly-credit model

Scheffel, Eric - 2008

In a seminal study Hodrick et al. (1991) evaluate the ability of a simple cash-credit model to produce realistic variability in consumption velocity while at the same time successfully explaining other key statistics. Sufficient variability in the latter is found to be associated with far too...

Persistent link: https://www.econbiz.de/10010288842

Money, interest rates and the real activity

Hong, Hao - 2011

This paper examines the effectiveness of monetary aggregates through various nominal interest rates by integrating the financial sector into the Cash-in-Advance (CIA) economy. The model assumes that there are two types of representative agents in the financial sector, which are: productive banks...

Persistent link: https://www.econbiz.de/10010288844

Can behavioral finance models account for historical asset prices?

ap Gwilym, Rhys - 2009

I construct a behavioral model of asset pricing in which agents choose whether to base their expectations on chartist or fundamental forecasts. I simulate the model in order to test its efficacy in explaining the moments and time series properties of the FTSE All-Share index, and find that the...

Persistent link: https://www.econbiz.de/10010288864

Real business cycles with a human capital investment sector and endogenous growth: Persistence, volatility and labor puzzles

Dang, Jing; Gillman, Max; Kejak, Michal - 2011

A positive joint two-sector productivity shock causes Rybczynski (1955) and Stolper and Samuelson (1941) effects that release leisure time and initially raises the relative price of human capital investment so as to favor it over goods production. This enables a basic RBC model, modified by...

Persistent link: https://www.econbiz.de/10010288869

Panel attrition: How important is it to keep the same interviewer?

Lynn, Peter; Kaminska, Olena; Goldstein, Harvey - 2011

We assess whether the probability of a sample member participating at a particular wave of a panel survey is greater if the same interviewer is deployed as at the previous wave. Previous research on this topic mainly uses non-experimental data. Consequently, a) interviewer change is generally...

Persistent link: https://www.econbiz.de/10010288933