This paper empirically investigates distributional and welfare effects of Germany's year 2000 tax reform. The reform is simulated in an ex-ante behavioral microsimulation approach. Dead weight loss of capital income taxation is estimated in a structural model for household savings and asset...

We extend gender research on risk behavior to betting markets. Our data set consists of all 5,136,660 bets in New Zealand from 2006 to 2009 and allows assigning each bet to individ-ual bettors. Women are much more prone to the favorite-longshot bias and suffer higher losses. Usually, betting on...

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...

The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyse, rank and select assets. There is thus a problem: which measures should be considered? We extend the current literature by comparing a large set of performance measures over...

This article explores the influence of competitive conditions on the evolutionary fitness of different risk preferences. As a practical example, the professional competition between fund managers is considered. To explore how different settings of competition parameters, the exclusion rate and...

We analyze the effect of geographic proximity on individual investors' portfolio choice. Using a unique data set which covers the common stockholdings of private households at regional banks in Germany, we document strong and consistent overinvestment in geographically close companies. Our...

Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...

Im Rahmen der bestehenden Portfoliotheorie wird zur Risikobewertung auf Normalverteilungsannahmen der Renditen oder Korrelationen aus historischen Daten zurückgegriffen. In den Finanzkrisen der Jahre 2008/09 stiegen jedoch die Korrelationen zwischen risikobehafteten Kapitalanlagen stark an....

We employ a life-cycle model with income risk to analyze how tax-deferred individual accounts affect households' savings for retirement. We consider voluntary accounts as opposed to mandatory accounts with minimum contribution rates. We contrast add-on accounts with carve-out accounts that...

The estimation of expected security returns is one of the major tasks for the practical implementation of the Markowitz portfolio optimization. Against this background, in 1992 Black and Litterman developed an approach based on (theoretically established) expected equili-brium returns which...