Narrow search
Showing 1 - 10 of 1,957
Cover Image
Predictability of Asset Returns and the Efficient Market Hypothesis
Pesaran, M. Hashem - 2010
considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical …
Persistent link: https://www.econbiz.de/10013141185
Cover Image
The Crisis in the Foreign Exchange Market
Melvin, Michael - 2013
The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This “blow-by-blow” narrative is intended to be a resource for researchers seeking...
Persistent link: https://www.econbiz.de/10013095774
Cover Image
Intraday Anomalies and Market Efficiency : A Trading Robot Analysis
Caporale, Guglielmo Maria - 2014
One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called "anomalies", i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...
Persistent link: https://www.econbiz.de/10013054316
Cover Image
The Optimal Taxation of Risky Capital Income : The Rate of Return Allowance
Spiritus, Kevin - 2017
Review. In a mean-variance framework the optimal tax on risk-free returns is zero with constant returns to scale in private … returned as a stochastic lump sum, the optimal tax on excess returns is irrelevant with only aggregate risk, and approaches 100 …% if there is also idiosyncratic risk …
Persistent link: https://www.econbiz.de/10012962987
Cover Image
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
Pesaran, M. Hashem - 2017
This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...
Persistent link: https://www.econbiz.de/10012955752
Cover Image
The Design of Pension Pay Out Options When the Health Status During Retirement is Uncertain
Kifmann, Mathias - 2021
This paper examines the optimal design of pension plans when the health status during retirement is uncertain. Assuming that the health status affects both life expectancy and the marginal utility of consumption, choice between a lump-sum payment and an annuity can be welfare-enhancing if the...
Persistent link: https://www.econbiz.de/10013316589
Cover Image
Social Security Incidence under Uncertainty Assessing Italian Reforms
Geron, Devis - 2009
turns out to decrease ex-ante individual welfare, unless restrictions are assumed on retirement behavior. Overall, risk … shown to yield a slight ex-ante welfare improvement from a purely risk-insurance perspective. This relative gain stems from … risk diversification across working-life wages in computing benefits …
Persistent link: https://www.econbiz.de/10013155670
Cover Image
Retrospective Capital Gains Taxation in the Real World
Menoncin, Francesco - 2009
even if the risk-free asset return is correlated with other risky assets' returns. However, equivalence fails to hold on an …
Persistent link: https://www.econbiz.de/10013158456
Cover Image
Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns
Hoffmann, Mathias - 2021
.S. stock market wealth. Fluctuations in entrepreneurs' hunger for risk could therefore help explain time variation in the … fluctuations in proprietary income, is highly correlated with cross-sectional measures of idiosyncratic entrepreneurial risk and … as entrepreneurial risk has become more easily diversifiable in the wake of U.S. state-level bank deregulation …
Persistent link: https://www.econbiz.de/10013317587
Cover Image
How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market
Sattarhoff, Cristina - 2018
This paper proposes a new measure for the evaluation of financial market efficiency, the so-called intermittency coefficient. This is a multifractality measure that can quantify the deviation from a random walk within the framework of the multifractal random walk model by Bacry et al. (2001b)....
Persistent link: https://www.econbiz.de/10012913274