We use the upper and lower bounds derived by Ferson and Lin (<CitationRef CitationID="CR25">2010</CitationRef>) to examine the impact of investor heterogeneity on the performance of U.K. investment trusts relative to alternative linear factor models. We find using the upper bounds that investor heterogeneity has an important impact for...</citationref>

Household portfolios include risky bonds, beyond stocks, and respond to permanent labour income shocks. This paper brings these features into a life-cycle setting, and shows that optimal stock investment is constant or increasing in age before retirement for realistic parameter combinations. The...

Empirical evidence shows that macroeconomic fundamentals have little explana-tory power for nominal exchange rates. On the other hand, the recent “microstruc-ture approach to exchange rates” has shown that most exchange rate volatility at short to medium horizons is related to order flows....

We investigate the dynamic return-volatility relation between stock indices returns (S&P 500, Nasdaq 100, Dax 30 and Dow Jones Euro Stoxx 50) and changes in the newly constructed model-free implied volatility indices (VIX, VXN, VDAX, and VSTOXX) at the daily level. We find pronounced...

The scope and purpose of this special issue is to reassess the relationships between private equity (PE) investors and their portfolio companies in the light of the need for venture capital/ private equity (VC/PE) firms to adapt their strategies for value creation in the light of the recent...