Paradoxically, high-investment and high-growth developing countries tend toexperience capital outows. This paper shows that this allocation puzzle can beexplained simply by introducing uninsurable idiosyncratic investment risk in theneoclassical growth model. Using a sample of 67 countries...

In their 2001 Journal of Risk and Insurance article, Stewart C. Myers and James A.Read, Jr., propose to use a specific capital allocation method for pricing insurancecontracts. We show that in their model framework no capital allocation to lines ofbusiness is needed for pricing insurance...

This paper uses statistical model selection criteria and Avramov’s (2002)Bayesian model averaging approach to analyze the sample evidence onstock market predictability in the presence of model uncertainty. Basedon Swiss stock market data, our posterior analysis finds that neither thecumulative...

We disentangle different driving factors of sovereign bond market integrationby studying yield co-movements of EMU countries, the UK, the US and 16German L¨ander in the last 15 years. At a low frequency of weeks, bondmarket integration has increased gradually in the course of the last 15 years...

The empirical literature on the asset allocation and medical expenditures ofU.S. households consistently shows that risky portfolio shares are increasing inboth wealth and health whereas health investment shares are decreasing in thesesame variables. Despite this evidence, most of the existing...