We propose new measures of both risk and anticipated return that incorporate the effects of skewness and heavy tails from a financial return’s probability distribution. Our cosine-based analysis, which involves maximizing the marginal Shannon information associated with the Fourier transform...

Although perceived as risk-laden, cyclical businesses with high financial and operating leverage, relatively low beta risks have been documented for the international transportation industry. This paper analyses whether such results are robust to different estimation designs and asserts that...

En este trabajo de investigación en Economía Financiera se trata de profundizar en el marco conceptual de la Teoría de Cartera (Portfolio Theory) en el aspecto concreto de la eficiencia o performance en la gestión de carteras realizando una adecuada interacción con la teoría de la...

To understand how real investors use their beliefs and preferences in investing decisions, we examine a panel survey of self-directed online investors at a UK bank. The survey asks for return expectations, risk expectations, and risk tolerance of these investors in three-month intervals between...

This paper develops a micro-founded general equilibrium model of the financial system composed of ultimate borrowers, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood of governmental bailouts on leverage, interest...

The paper examines the performance of US no-load equity mutual funds. Fund performance is derived using stochastic frontier analysis for a flexible functional form. This analysis allows us to derive parametric estimates of efficiency scores for each fund in our sample for the first time in the...