Showing 1 - 10 of 22,363
This paper shows that the stylized fact of average mutual fund underperformance documented in the literature stems from expansion periods when funds have statistically significant negative risk-adjusted performance and not recession periods when risk-adjusted fund performance is positive. These...
Persistent link: https://www.econbiz.de/10013121165
Persistent link: https://www.econbiz.de/10011756467
We consider a mean-variance general equilibrium economy where the expected returns for controlling and non-controlling shareholders are different because the former are able to divert a fraction of the profits. We find that when investor protection is poor, asset return correlation affects...
Persistent link: https://www.econbiz.de/10010261366
We provide a new explanation to the limited stock market participation puzzle. In deciding whether to buy stocks, investors factor in the risk of being cheated. The perception of this risk is a function not only of the objective characteristics of the stock, but also of the subjective...
Persistent link: https://www.econbiz.de/10010298311
Trusting behavior has been shown to affect households' portfolio choice between risky and risk-free financial assets. We extend the analysis of the effect of trust on portfolio choice to include the dominant component of households' portfolios, real estate. In a simple model, we show how the...
Persistent link: https://www.econbiz.de/10009153590
The aim of this paper is to analyze the merits of using the Value At Risk method in estimating the risk associated with investments in metallurgical sector companies. The paper presents how to construct the model, various methods of its estimation and their advantages and disadvantages. In the...
Persistent link: https://www.econbiz.de/10009510795
Trusting behavior has been shown to affect households' portfolio choice between risky and risk-free financial assets. We extend the analysis of the effect of trust on portfolio choice to include the dominant component of households' portfolios, real estate. In a simple model, we show how the...
Persistent link: https://www.econbiz.de/10013136779
's information set for the myopic stock-bond portfolio. In-sample I find that the best forecast of the volatility and correlation is … simply the previous realised estimate. However, out-of-sample, analyst forecasts provide information not contained in …
Persistent link: https://www.econbiz.de/10012975364
Persistent link: https://www.econbiz.de/10012430850
conduct the brain parcellation by applying spatially constrained NCUT spectral clustering. The information within each cluster …
Persistent link: https://www.econbiz.de/10010379977