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Arguments for creating a market to allow trading the portfolio of all endowments in the entire world, the "market portfolio," are considered. This world share market would represent a radical innovation, since at the present time only a small fraction of world endowments are traded. Using a...
Persistent link: https://www.econbiz.de/10005748788
We construct a new method of decomposing the variance of national incomes into components in such a way as to indicate the most important 'residual' risk-sharing opportunities among peoples of the world. The risk-sharing opportunities we study are nonsystematic risk-sharing opportunities. These...
Persistent link: https://www.econbiz.de/10008852986
We provide methods of decomposing the variance of world national incomes into components in such a way as to indicate the most important risk-sharing opportunities, and, therefore, the most important missing international risk markets to establish. One method uses a total variance reduction...
Persistent link: https://www.econbiz.de/10005580514
The market portfolio is in one sense the least important portfolio to provide to investors. In an J-agent one-period stochastic endowment economy, where preferences are quadratic, a social-welfare-minded contract designer would never create a contract that would allow trading the market...
Persistent link: https://www.econbiz.de/10005725275
Uncertainty about national income growth poses significant macroeconomic risk to households all over the world. To help reduce investors' exposure, researchers have proposed a controversial new set of security markets called macro markets. These international markets would trade long-term claims...
Persistent link: https://www.econbiz.de/10005372971
How large are potential benefits from global risksharing? In order to answer this question we propose a new methodology that is closely connected with the empirical growth literature. We obtain estimates of residual risk (growth uncertainty) at various horizons from regressions of...
Persistent link: https://www.econbiz.de/10005087856
We propose a new methodology to evaluate the gains from global risksharing that is closely connected to the empirical growth literature. We obtain estimates of residual risk (growth uncertainty) at various horizons from regressions of country-specific deviations from world growth on a wide set...
Persistent link: https://www.econbiz.de/10005726579
Persistent link: https://www.econbiz.de/10005673952
This paper examines the information embedded in both the stock and option markets prior to takeover announcements. During normal periods, buyer-seller initiated stock volume imbalances are significant predictors of next-day stock returns and option volume imbalances are uninformative. However,...
Persistent link: https://www.econbiz.de/10005368968
This paper parsimoniously characterizes how past returns affect the cross-section of expected returns. Using Fama-MacBeth regressions, it shows that the momentum and reversals associated with past returns over va
Persistent link: https://www.econbiz.de/10005368969