Systemic crises can have grave consequences for investors in international equity markets, because it causes the risk-return trade-off to deteriorate severely for a longer period. In this paper we propose a novel approach to include the possibility of systemic crises in asset allocation...

This paper develops a novel approach to simultaneously test for market timing in stock index returns and volatility. The tests are based on the estimation of a system of regression equations with indicator variables and provide detailed information about the statistical significance of...

This paper develops a novel approach to simultaneously test for market timing in stock index returns and volatility. The tests are based on the estimation of a system of regression equations with indicator variables and provide detailed information about the statistical significance of...

In intertemporal asset pricing models, transaction costs are usually neglected. In this paper we explicitly incorporate transaction costs in these models and analyze to what extent this extension is helpful in explaining the cross-section of expected returns. An empirical analysis using CRSP...

This study examines the liability hedging characteristics of both direct and indirect real estate, in the advent of fair value accounting obligations for pension funds. We explicitly model pension obligations as being subject to interest and inflation risk to analyze the ability of real estate...

This paper employs the rank-order instrumental variable (IV) procedure of Vella and Verbeek (1997) to estimate the returns to education for Australian youth. The attraction of this approach is that it can account for the endogeneity of schooling in the wage equation via the use of instrumental...

The relationship between two alternative approaches, instrumental variables and control function procedures, for estimating the impact of endogenous treatment effects are examined. Although it is well known that the two approaches generate comparable estimates, the relationship between the...

This paper presents some two-step estimators for a wide range of parametric panel data models with censored endogenous variables and sample selection bias. Our approach is to derive estimates of the unobserved heterogeneity responsible for the endogeneity/selection bias to include as additional...

We analyze the performance persistence in hedge funds taking into account look-ahead bias (multi-period sampling bias). We model liquidation of hedge funds by analyzing how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for...

Systemic crises can have grave consequences for investors in international equity markets, because they cause the risk-return trade-off to deteriorate severely for a longer period. We propose a novel approach to include the possibility of systemic crises in asset allocation decisions. By...