This paper examines the ability of balanced pension plan managers to successfully time the equity and bond market and select the appropriate assets within these markets. In order to evaluate both market timing abilities in these balanced pension plans, we extend the traditional equity market...

This paper examines the ability of balanced pension plan managers to successfully time the equity and bond market and select the appropriate assets within these markets. In order to evaluate both market timing abilities in these balanced pension plans, we extend the traditional equity market...

The shareholder value maximization is the keystone of the actual stage of capitalism. The objective function of publicly quoted corporations is nowadays the maximization of the shareholders' wealth, i.e. the sum of dividends and capital gains. Despite the increasing international financial...

In this paper the authors survey capital structure theories, from the start-up point, which is considered Modigliani and Miller’s capital structure irrelevance theorem, to recent theories, such as the pecking order and the market timing theory. For each t

We address the empirical implementation of the static asset allocation problem by developing a forward-looking approach that uses information from market option prices. To this end, we extract constant maturity S&P 500 implied distributions and transform them to the corresponding risk-adjusted...