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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

Long Memory and Data Frequency in Financial Markets

Caporale, Guglielmo Maria - 2017

This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory...

Persistent link: https://www.econbiz.de/10012958457

Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10012981605

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

Expectations, Illiquidity, and Short-Term Trading

Cespa, Giovanni; Vives, Xavier - 2021

We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have …

Persistent link: https://www.econbiz.de/10013316042

A Large-Market Rational Expectations Equilibrium Model

Vives, Xavier - 2021

This paper presents a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved. The equilibrium is efficient, and the paradoxes associated with fully revealing rational expectations...

Persistent link: https://www.econbiz.de/10013316011

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

Pesaran, M. Hashem - 2017

This paper proposes a new double-question survey method that elicits information about how individuals subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...

Persistent link: https://www.econbiz.de/10012963776

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

Asset Auctions, Information, and Liquidity

Vives, Xavier - 2021

A model is presented of a uniform price auction where bidders compete in demand schedules; the model allows for common and private values in the absence of exogenous noise. It is shown how private information yields more market power than the levels seen with full information. Results obtained...

Persistent link: https://www.econbiz.de/10013316270

Regulatory Risk Under Optimal Incentive Regulation

Strausz, Roland - 2009

The paper provides a tractable, analytical framework to study regulatory risk. Regulatory risk is captured by … funds. Results are as follows: 1) The regulator's reaction to regulatory risk depends on the curvature of aggregate demand …. 2) It yields a positive information rent effect exactly when demand is convex. 3) Firms benefit from regulatory risk …

Persistent link: https://www.econbiz.de/10013160045