It is well known that returns on foreign exchange rates are not normal and tend to have fat-tailed distributions. Although the precise magnitude of the tail-fatness is crucial for applications such as risk analysis, little consensus exists in this respect due to estimation problems. In this...

This paper complements the existing scarce literature on financial cooperatives in various ways. First, we describe the background and evolution of European Cooperative Banking Groups (ECBGs). Second, we summarize the main reasons for the past disregard and recent revaluation of the cooperative...

Factors represent certain parts in the market, which are more attractive in the long term than other parts. In the case of equities for example, leading academic studies demonstrate that momentum, small cap and low-volatility stocks systematically generate higher risk-adjusted returns. Factors...

This article investigates the building blocks to successful investment strategies for institutional investors. It presents the results of a worldwide survey of investment beliefs, and finds striking differences in how pension funds and commercial asset managers view capital markets. Asset...

A direct relationship between the observed investment beliefs held by pension funds and performance measures is tested using an international sample of pension funds. Investment beliefs address strategic choices in the investment philosophy and process that affect the future performance of the...

Researchers in the field of foreign exchange markets have worked hard to understand the behavior of nominal and real exchange rates and the mechanics of the markets in which nominal exchange rates are determined. JIMF has played a continual role in this process, via both the research that it has...

This paper analyzes purchasing power parity (PPP) for the euro area. We study the impact of the introduction of the euro in 1999 on the behavior of real exchange rates. We test the PPP hypothesis for a panel of real exchange rates within the euro area over the period 1973-2003. Our methodology...

Financial well-being is distinct from income. Some people with high incomes suffer low financial well-being, as their incomes fall short of their aspirations. Such people feel propelled to reach their aspirations by taking risk and willing to bear losses. Conversely, some people with low incomes...

We ask how pension fund trustees deal with the booms and busts that funds encounter, and to what extent the decisions of pension fund trustees are affected by behavioral biases. We examine these issues by using a vignette-method field experiment among Dutch pension fund trustees. We find that...

A significant number of institutional investors publicly state the belief that corporate stakeholder relations are associated with firm value in a manner that the financial market fails to understand. We investigate whether stakeholder information predicted risk-adjusted returns due to errors in...