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Household Investment Asset Variation and Wealth

J. Harness, Nathaniel - 2010

Frequent shifting of household portfolio composition may erode wealth due to poor market timing and transaction costs …. If household preferences are stable, the optimal wealth maximizing strategy is periodically rebalancing to maintain a … relatively constant ratio of investment assets to wealth from year to year. However, some households may fail to rebalance, or …

Persistent link: https://www.econbiz.de/10013138691

Beta dispersion and market timing

Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452

Tracking Risk of Exchange Traded Funds Revisited - A Multivariate Regression Approach

Merz, Thomas - 2016

This empirical study investigates the ability of exchange-traded funds (ETFs) to replicate the risk-return characteristics of their respective benchmarks accurately. By decomposing ex-post tracking performance, this study finds that the commonly used measure, tracking error, rarely sufficiently...

Persistent link: https://www.econbiz.de/10013005396

Estimating Private Equity Market Beta Using Cash Flows : A Cross-Sectional Regression of Fund-Market Paired Internal Rates of Return

Jiang, Yindeng - 2014

We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public market equivalent calculation to a cross-sectional regression. By simply regressing funds' internal rates of return on their paired market internal rates of...

Persistent link: https://www.econbiz.de/10013054634

Moving Forward from Predictive Regressions : Boosting Asset Allocation Decisions

Nevasalmi, Lauri; Nyberg, Henri - 2021

We introduce a flexible utility-based empirical approach to directly determine asset allocation decisions between risky and risk-free assets. This is in contrast to the commonly used two-step approach where least squares optimal statistical equity premium predictions are first constructed to...

Persistent link: https://www.econbiz.de/10013249064

Measuring alpha in the fund management industry : do female managers perform better?

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2013

This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences. Fund performance is evaluated against funds' designated market indices and representative style portfolios. Consistently with previous studies, no significant differences in...

Persistent link: https://www.econbiz.de/10009752997

"Déjà vol" revisited : survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios

Conrad, Christian; Glas, Alexander - 2018

We investigate the question of whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP growth from the Federal Reserve's Survey of Professional Forecasters predict volatility in a cross-section of...

Persistent link: https://www.econbiz.de/10011914124

Mixed-Frequency Predictive Regressions with Parameter Learning

Leippold, Markus; Yang, Hanlin - 2023

different frequencies but also due to the preservation of high-frequency features such as time-varying volatility. Temporally …

Persistent link: https://www.econbiz.de/10014348997

The impact of health insurance on stockholding : a regression discontinuity approach

Christelis, Dimitris; Georgarakos, Dimitris; Sanz de … - 2014

Using data from the US Health and Retirement Study, we study the causal effect of increased health insurance coverage through Medicare and the associated reduction in health-related background risk on financial risk-taking. Given the onset of Medicare at age 65, we identify our effect of...

Persistent link: https://www.econbiz.de/10010428193

The impact of health insurance on stockholding : a regression discontinuity approach

Christelis, Dimitris; Georgarakos, Dimitris; Sanz de … - 2014

Persistent link: https://www.econbiz.de/10010436274