Showing 1 - 10 of 13
Persistent link: https://www.econbiz.de/10014341085
Asset allocation and market participation are intimately related investment decisions. Studies of dividend clienteles often attribute the positive relation between age and dividends to lack of self-control, but consumers with self-control problems are precisely those less likely to hold...
Persistent link: https://www.econbiz.de/10011106338
I propose a friction measure of bond round-trip liquidity costs that is robust to outliers and accounts for the idiosyncratic information behind trading decisions. Particularly effective with investment-grade bonds, the proposed measure displays properties consistent with the credit risk puzzle....
Persistent link: https://www.econbiz.de/10010929721
type="main" xml:lang="en" <p>To understand the current tendency toward transparency, we studied the effects of accounting disclosure in a laboratory. In our experiment, transparency in the financial accounts of the listed companies improved information efficiency; but, even after checking for...</p>
Persistent link: https://www.econbiz.de/10011033612
This paper presents a market-based framework for pricing the International Monetary Fund's commitment to provide liquidity assistance, accounting for the credit risk and the insurance benefit involved in such operations. It is based on the isomorphic correspondence between Fund liquidity and...
Persistent link: https://www.econbiz.de/10005180215
We assess how commodity prices respond to macroeconomic news and show that commodities have been relatively insensitive to such news over daily frequencies between 1997 and 2009 compared to other financial assets and major exchange rates. Where commodity prices are influenced by news, there is a...
Persistent link: https://www.econbiz.de/10008872517
In this article we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor (SDF) calculated as the average of the household clusters’ intertemporal marginal rates of...
Persistent link: https://www.econbiz.de/10010690868
In this article we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor (SDF) calculated as the average of the household clusters’ intertemporal marginal rates of...
Persistent link: https://www.econbiz.de/10010606666
Persistent link: https://www.econbiz.de/10011590070
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