Showing 1 - 10 of 251
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
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
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
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
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
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
across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains … that, while systemic risk affects the allocation of wealth between the riskless and risky assets, it has a small effect on … international diversification – for an investor with a relative risk aversion of 3 and a horizon of one year, the certainty …
Persistent link: https://www.econbiz.de/10005504252
exchange economy with multiple agents who differ in their degree of risk aversion and face borrowing constraints. We … volatility of stock returns increases with the cross-sectional dispersion of risk aversion, with the cross-sectional dispersion … constraint lowers the risk-free interest rate and raises the equity premium in equilibrium. …
Persistent link: https://www.econbiz.de/10005504284
This paper uses a unique data set of Latin American paintings auctioned by Sotheby's between 1995 and 2002 to investigate several puzzles from the recent auctions literature. Our results suggest that: (1) the reputation of an artist and the provenance of the artwork, omitted variables in most...
Persistent link: https://www.econbiz.de/10005504297
We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States …
Persistent link: https://www.econbiz.de/10005504526