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Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

On the construction of common size, value and momentum factors in international stock markets : a guide with applications

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011

A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...

Persistent link: https://www.econbiz.de/10008798062

Convergent Evolution Toward the Joint-Stock Company

Le Bris, David; Goetzmann, William N.; Pouget, Sébastien - National Bureau of Economic Research - 2023

companies in England and the Netherlands in the early 17th century. Highlighting medieval cases in southern Europe, we claim …

Persistent link: https://www.econbiz.de/10014436952

The Topography of Nations

Allen, Treb - National Bureau of Economic Research - 2023

simple algorithm for its calculation. When combined with detailed spatial geography data from Europe, the equilibrium …

Persistent link: https://www.econbiz.de/10014421232

Systemic risk in Europe

Engle, Robert F.; Jondeau, Eric; Rockinger, Michael - 2012

Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. In this paper, we investigate the case of non-U.S. institutions, with several factors explaining the dynamics of financial firms returns and...

Persistent link: https://www.econbiz.de/10009684066

A Theory of Power Structure and Institutional Compatibility : China vs. Europe Revisited

Jia, Ruixue; Roland, Gérard; Xie, Yang - National Bureau of Economic Research - 2021

opportunities to access elite status than Premodern Europe, for example via the civil service exam and the absence of hereditary … differences in the power structure of society: (1) the Ruler enjoyed weaker absolute power in Europe; (2) the People were more on … differences between Imperial China and Premodern Europe, as well as specific institutions such as the bureaucracy in China and the …

Persistent link: https://www.econbiz.de/10012482621

Global Pricing of Carbon-Transition Risk

Bolton, Patrick; Kacperczyk, Marcin - National Bureau of Economic Research - 2021

levels of carbon emissions (and higher annual changes)--in all sectors over three continents, Asia, Europe, and North America …

Persistent link: https://www.econbiz.de/10012482725

Does Employing Skilled Immigrants Enhance Competitive Performance? Evidence from European Football Clubs

Glennon, Britta; Morales, Francisco; Carnahan, Seth; … - National Bureau of Economic Research - 2021

We investigate the effect of hiring skilled immigrant employees on the performance of organizations. This relationship has been difficult to establish in prior work due to theoretical ambiguity, limited data, and inherent endogeneity. We overcome these difficulties by studying European football...

Persistent link: https://www.econbiz.de/10012696355

Inequality in Mortality between Black and White Americans by Age, Place, and Cause, and in Comparison to Europe, 1990-2018

Schwandt, Hannes; Currie, Janet M.; Bär, Marlies; … - National Bureau of Economic Research - 2021

Inequalities in life expectancy are starker in the U.S. than in Europe. In 1990 White Americans and Europeans in rich … comparison with Europe suggests that mortality rates of both Black and White Americans could fall much further across all ages …

Persistent link: https://www.econbiz.de/10012629423

The Effects of Going Public on Firm Performance and Commercialization Strategy : Evidence from International IPOs

Larrain, Borja; Phillips, Gordon M.; Sertsios, Giorgo; … - National Bureau of Economic Research - 2021

We study the effects of going public using a unique panel of firms in 16 European countries for which we observe financial data before and after firms' initial-public-offering (IPO) attempts. We compare firms that complete their IPO with firms that withdraw their IPO. We instrument the going...

Persistent link: https://www.econbiz.de/10012629439