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Momentum Trading, Return Chasing and Predictable Crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - Federal Reserve Bank of Chicago - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and … earned abnormally high risk-adjusted returns —a three factor alpha of 1 percent per month between 1927 and 2012 and 0 … remain invested in momentum even when the crash risk is known to be high when (1) he competes for funds from return and (2 …

Persistent link: https://www.econbiz.de/10011119888

Economic perspectives

Federal Reserve Bank of Chicago - Chicago, Ill. : Research Dept. of the Federal Reserve Bank - 1.1977 - 6.1982; 13.1989 -

Persistent link: https://www.econbiz.de/10000361175

The pitfalls in inferring risk from financial market data

Bliss, Robert R. (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001658371

When is inter-transaction time informative?

Furfine, Craig H. (contributor) - 2003 - [Elektronische Ressource]

"We investigate the information content of inter- transaction time and find that it varies both across stocks and over time. On average, inter-transaction time is found to be informative whenever stocks are sufficiently traded. The magnitude of the information content is found to be larger for...

Persistent link: https://www.econbiz.de/10001761370

Preventing Bank Runs

Andolfatto, David; Nosal, Ed; Sultanum, Bruno - Federal Reserve Bank of Chicago - 2014

Diamond and Dybvig (1983) is commonly understood as providing a formal rationale for the existence of bank-run equilibria. It has never been clear, however, whether bank-run equilibria in this framework are a natural byproduct of the economic environment or an artifact of suboptimal contractual...

Persistent link: https://www.econbiz.de/10011099905

Adverse Selection, Risk Sharing and Business Cycles

Veracierto, Marcelo - Federal Reserve Bank of Chicago - 2014

I consider a real business cycle model in which agents have private information about an idiosyncratic shock to their value of leisure. I consider the mechanism design problem for this economy and describe a computational method to solve it. This is an important contribution of the paper since...

Persistent link: https://www.econbiz.de/10011093788

Mandatory Disclosure and Financial Contagion

Alvarez, Fernando; Barlevy, Gadi - Federal Reserve Bank of Chicago - 2014

This paper analyzes the welfare implications of mandatory disclosure of losses at financial institutions when it is common knowledge that some banks have incurred losses but not which ones. We develop a model that features contagion, meaning that banks not hit by shocks may still suffer losses...

Persistent link: https://www.econbiz.de/10010765415

Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates

Ajello, Andrea; Benzoni, Luca; Chyruk, Olena - Federal Reserve Bank of Chicago - 2012

term structures of risk-free rates. In our framework, distinct core, food, and energy price series combine into a measure … inflation-indexed bond market. Finally, we find a pronounced declining pattern in the inflation risk premium that illustrates … the changing nature of inflation risk in nominal Treasuries. …

Persistent link: https://www.econbiz.de/10011093790

Inflation Uncertainty and Disagreement in Bond Risk Premia

D'Amico, Stefania; Orphanides, Athanasios - Federal Reserve Bank of Chicago - 2014

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …

Persistent link: https://www.econbiz.de/10011119883

Human Capital and Long-Run Labor Income Risk

Benzoni, Luca; Chyruk, Olena - Federal Reserve Bank of Chicago - 2013

This review article examines the role of labor income risk in determining the value of a person’s human capital. We … to assess the value and risk of pension promises. Finally, we discuss how to enrich the environment with heterogeneity in …

Persistent link: https://www.econbiz.de/10010735414