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On the Role of Arbitrageurs in Rational Markets

Basak, Suleyman; Croitoru, Benjamin - C.E.P.R. Discussion Papers - 2004

is shown to alleviate the effects of these restrictions and improve the transfer of risk amongst investors. When the …

Persistent link: https://www.econbiz.de/10005123691

Risk Taking and Optimal Contracts for Money Managers

Palomino, Frédéric; Prat, Andrea - C.E.P.R. Discussion Papers - 1999

Recent empirical work suggests a strong connection between the incentives money managers are offered and their risk … riskiness of the portfolio. This represents a departure from the existing literature on agency theory in that moral hazard is … not only effort exertion but also risk taking behavior. The moral hazard problem with risk taking involves an incentive …

Persistent link: https://www.econbiz.de/10005504241

Country and Industry Dynamics in Stock Returns

Catão, Luis A. V.; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

An important question in international finance is to what extent stock return volatility is influenced by country location, industry affiliation, and global factors. This Paper develops a new methodology to measure these effects, in which portfolios mimicking ‘pure’ country and industry...

Persistent link: https://www.econbiz.de/10005067673

Are Stocks Really Less Volatile in the Long Run?

Pástor, Luboš; Stambaugh, Robert F. - C.E.P.R. Discussion Papers - 2009

Conventional wisdom views stocks as less volatile over long horizons than over short horizons due to mean reversion induced by return predictability. In contrast, we find stocks are substantially more volatile over long horizons from an investor's perspective. This perspective recognizes that...

Persistent link: https://www.econbiz.de/10005662327

Capital Flows, Push versus Pull Factors and the Global Financial Crisis

Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2011

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …

Persistent link: https://www.econbiz.de/10009207523

Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System

Cukierman, Alex; Izhakian, Yehuda - C.E.P.R. Discussion Papers - 2011

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders …

Persistent link: https://www.econbiz.de/10009144737

Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion

Basak, Suleyman; Yan, Hongjun - C.E.P.R. Discussion Papers - 2009

This article analyzes the implications of money illusion for investor behavior and asset prices in a securities market economy with inflationary fluctuations. We provide a belief-based formulation of money illusion which accounts for the systematic mistakes in evaluating real and nominal...

Persistent link: https://www.econbiz.de/10005048554

Liquidity Risk in Securities Settlement

Devriese, Johan; Mitchell, Janet - C.E.P.R. Discussion Papers - 2005

This paper studies the potential impact on securities settlement systems (SSSs) of a major market disruption, caused by the default of the largest player. A multi-period, multi-security model with intraday credit is used to simulate direct and second round settlement failures triggered by the...

Persistent link: https://www.econbiz.de/10005792365

Assessing the impact of Mali’s water privatization across stakeholders

Estache, Antonio; Grifell-Tatjé, Emili - C.E.P.R. Discussion Papers - 2011

indicator duality and production theory. The paper shows that users benefited through lower real water prices -although users in …

Persistent link: https://www.econbiz.de/10009399719

Sparse and Stable Markowitz Portfolios

Brodie, Joshua; Daubechies, Ingrid; De Mol, Christine; … - C.E.P.R. Discussion Papers - 2007

The Markowitz mean-variance optimizing framework has served as the basis for modern portfolio theory for more than 50 …

Persistent link: https://www.econbiz.de/10005504227