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The Choice Channel of Financial Innovation

Iachan, Felipe - 2015

investors' savings and asset returns. We establish a choice channel by which greater portfolio choice increases investors …' savings—by enabling them to earn the aggregate risk premium or to take speculative positions. In equilibrium, portfolio …

Persistent link: https://www.econbiz.de/10013012668

Simplifying Choices in Defined Contribution Retirement Plan Design

Keim, Donald B. - 2016

rates and expense ratios, and we estimate this could lead to aggregate savings for these participants over a 20-year period …

Persistent link: https://www.econbiz.de/10013001774

Neglected Risks, Financial Innovation, and Financial Fragility

Gennaioli, Nicola - 2010

We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash...

Persistent link: https://www.econbiz.de/10013142292

Mispricing Factors

Stambaugh, Robert F. - 2015

A four-factor model with two "mispricing" factors, in addition to market and size factors, accommodates a large set of anomalies better than notable four- and five-factor alternative models. Moreover, our size factor reveals a small-firm premium nearly twice usual estimates. The mispricing...

Persistent link: https://www.econbiz.de/10013015979

Speculation and Risk Sharing with New Financial Assets

Simsek, Alp - 2011

While the traditional view of financial innovation emphasizes the risk sharing role of new financial assets, belief disagreements about these assets naturally lead to speculation, which represents a powerful economic force in the opposite direction. This paper investigates the effect of...

Persistent link: https://www.econbiz.de/10013119601

Portfolio Inefficiency and the Cross-Section of Expected Returns

Kandel, Shmuel - 2011

A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially...

Persistent link: https://www.econbiz.de/10013118691

Tax-Efficient Asset Management : Evidence from Equity Mutual Funds

Sialm, Clemens - 2015

Investment taxes have a substantial impact on the performance of taxable mutual fund investors. Mutual funds can reduce the tax burdens of their shareholders by avoiding securities that are heavily taxed and by avoiding realizing capital gains that trigger higher tax burdens to the funds'...

Persistent link: https://www.econbiz.de/10013024877

The Cross-Section of Risk and Return

Daniel, Kent - 2018

In the finance literature, a common practice is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated with the characteristic, but also unpriced risk. We...

Persistent link: https://www.econbiz.de/10012931218

Asset Prices in a Lifecycle Economy

Farmer, Roger E. A. - 2014

savings rates and I use this model to account for a high term premium and a volatile stochastic discount factor. The fact the …

Persistent link: https://www.econbiz.de/10013057406

Current Accounts in the Long and Short Run

Kraay, Aart; Ventura, Jaume - 2021

Faced with income fluctuations, countries smooth their consumption by raising savings when income is high, and vice … versa. How much of these savings do countries invest at home and abroad? In other words, what are the effects of … fluctuations in savings on domestic investment and the current account? In the long run, we find that countries invest the marginal …

Persistent link: https://www.econbiz.de/10013243615