Showing 1 - 10 of 117
This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...
Persistent link: https://www.econbiz.de/10005857971
Theories of investment suggest that the option value of waiting to invest is significant in many branches of economics, where investment is irreversible. The existing literature has generally failed to account for the general equilibrium feedback effects of lumpy investments on optimal...
Persistent link: https://www.econbiz.de/10005858793
This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...
Persistent link: https://www.econbiz.de/10005862639
Ein Überblick über in Deutschland emittierte Turbo-Zertifikate zeigt den enormen Erfolg dieser Finanzinnovation. In diesem Beitrag werden Long- und Short-Zertifikate bewertet und analysiert. Im Mittelpunkt steht dabei die jüngst von einigen Emittenten offen kommunizierte Preisstellung...
Persistent link: https://www.econbiz.de/10005844490
The purpose of this paper is to explain why some markets for financialproducts take off while others vanish as soon as they have emerged ...
Persistent link: https://www.econbiz.de/10005846440
According to the traditional view held in finance returns of assets are determined by complete rationality of decision makers. Rational decisions are defined by a set of axioms that are universal and do not leave room for cultural differences. In this article we show that cultural differences do...
Persistent link: https://www.econbiz.de/10005858207
Economists have forcefully argued for the introduction and use of property derivatives as a hedge against house price risk (e.g. Shiller and Weiss, 1999). The rationale for these financial instruments seems clear, as many households are heavily invested in housing and standard financial...
Persistent link: https://www.econbiz.de/10005858211
In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting...
Persistent link: https://www.econbiz.de/10005858398
This paper presents a theoretical study of how incentives affect hedge fund risk and returns and an empirical study of the performance of a large group of operating hedge funds. Most hedge fund managers receive a flat fee plus a share of the returns above a certain benchmark. We investigate how...
Persistent link: https://www.econbiz.de/10005858410
In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...
Persistent link: https://www.econbiz.de/10005858728