Showing 1 - 4 of 4
We show that volatility spillovers arc large enough to matter to investors. We demonstrate that standarddeviations of returns to mean-variance portfolios of European equities fall by 1-1.5% at daily, weekly, andmonthly rebalancing horizons when volatility spillovers are included in covariance...
Persistent link: https://www.econbiz.de/10009482561
We investigate delegated investment management in private pension accounts using datafrom Australian accumulation (superannuation) funds. In Australian non-profit pensionfunds, trustees choose investment managers on behalf of members. We find that funds withmany delegated managers have higher...
Persistent link: https://www.econbiz.de/10009482592
We propose an identified structural GARCH model to disentangle the dynamics of financial market crises. We distinguish between the hypersensitivity of a domestic market in crisis to news from foreign non-crisis markets, and the contagion imported to a tranquil domestic market from foreign...
Persistent link: https://www.econbiz.de/10009482897
This research studies the propensity of individuals to violate implications of expected utility maximization in allocating retirement savings within a compulsory de- �ned contribution retirement plan. The paper develops the implications and describes the construction and administration of a...
Persistent link: https://www.econbiz.de/10008866161