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Absence of arbitrage conditions impose important restrictions on the dynamics of bond and exchange rate returns. It can be shown that the exchange rate serves to convert prices of international undiversifiable risks from one currency to another. Put differently, arbitrage ensures that risk...
Persistent link: https://www.econbiz.de/10005765086
In this paper we assess the effects of monetary unification in Europe on the pricing behavior in financial markets and more in particular on excess returns. We use the standard IAPT framework to analyze the role of the exchange rate in separating excess return pricing accross European countries....
Persistent link: https://www.econbiz.de/10005587995
Persistent link: https://www.econbiz.de/10005167042
In this paper we assess the effects of monetary unification in Europe on the pricing behavior in financial markets and more in particular on excess returns. We use the standard IAPT framework to analyze the role of the exchange rate in separating excess return pricing accross European countries....
Persistent link: https://www.econbiz.de/10005252187
This paper analyzes a stylized theoretical framework to examine optimal portfolio selection in an international context with an explicit focus on the effect of the exchange rate. More specifically, we study how the elimination of the exchange rate induces shifts in the optimal international...
Persistent link: https://www.econbiz.de/10005200747
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Persistent link: https://www.econbiz.de/10007736494
Providing risk-sharing benefits to risk-averse policy holders is a primary function of insurance companies. We model that policy holders are paying a fee over the present value of indemnifications (i.e., technical provisions) to enjoy these risk-sharing benefits. Although the traditional...
Persistent link: https://www.econbiz.de/10012962847
Using unique household survey data from Ecuador, we study how an increase in poor households' income affects their probability of borrowing from local loan sharks ("chulqueros"). We exploit a natural experiment created by a government cash transfer program for which only households with a...
Persistent link: https://www.econbiz.de/10014235844
Mutual funds often inform directly about their strategy in their name. This paper studies the accuracy of mutual fund names. Constructing a fund name history data set based on SEC filings and applying unsupervised machine learning techniques, we document that a significant fraction of mutual...
Persistent link: https://www.econbiz.de/10012831078