Results 131 to 140 of about 632,036 (253)
Measuring intertemporal preferences using response times [PDF]
We use two different approaches to measure intertemporal preferences. First we employ the classical method of inferring preferences from a series of choices (subjects choose between $X now or $Y in D days). Second we adopt the novel approach of inferring
Carrie L. Morris +4 more
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Life Cycle Consumption and Portfolio Choice Under Real Interest Rate Risk
Financial Management, EarlyView.ABSTRACT We set up a life cycle model with real interest rate risk to demonstrate that real interest rates have implications for optimal household consumption and investments. Lower interest rates lead to higher optimal stock investments and lower consumption.
Marcel Fischer, Natascha Jankowski
wiley +1 more source
Reputation and Asset Prices: Evidence From Trump Real Estate
Financial Management, EarlyView.ABSTRACT We analyze the impact of brand reputation on asset prices by exploiting the prominence of Donald Trump in Manhattan real estate. Our quasi‐experiment identifies a 14.5% discount to condominiums in Trump‐branded buildings after controversies surrounding Trump's presidential candidacy began in June 2015 up to 2022.
Marlene Koch, Simon Stehle, Rémi Vivès
wiley +1 more source
Calibrated Stochastic Dynamic Models for Resource Management [PDF]
In this paper we develop a positive calibrated approach to stochastic dynamic programming. Risk aversion, discount rate, and intertemporal substitution preferences of the decision-maker are calibrated by a procedure that minimizes the mean squared error ...
Reynaud, Arnaud +3 more
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Lender‐Affiliated Analysts and Syndicated Loans
Financial Management, EarlyView.ABSTRACT Loans to borrowers covered by affiliated analysts have lower spreads. This effect is driven mostly by affiliated analysts sharing information with, rather than demanding information from, lending arms. Exploiting plausibly exogenous changes in brokerage affiliations, we find that the results are likely to be causal.
Yongqiang Chu, Tao Ma, Cong (Roman) Wang
wiley +1 more source
Sharpening Intertemporal Prospect Theory [PDF]
Prospect theory [4] of risky choices has been extended to encompass intertemporal choices [6]. Presentation of intertemporal prospect theory suffers from minor mistakes, however [2].
Pushpa, Rathie +2 more
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Residual Income Valuation and Stock Returns: Evidence From a Value‐to‐Price Investment Strategy*
Financial Review, EarlyView.ABSTRACT This paper contributes to the accounting and asset pricing anomalies literature by investigating the performance of value‐to‐price (V/P) strategies, and the relationship between V/P ratio and various risk proxies. If the V/P ratio successfully predicts future returns at stock level, we hypothesize that portfolios based on the V/P ratio ...
Ahmad Haboub +2 more
wiley +1 more source
Market Uncertainty, Investor Sentiment, and the Beta Premium
Financial Review, EarlyView.ABSTRACT This paper provides new insights into how time‐variation in the beta premium is related to popular measures of market uncertainty and sentiment; specifically, the CBOE's VIX and the sentiment index of Baker‐Wurgler (2006). We show that the beta premium: (1) increases nonlinearly with uncertainty, rising significantly only when VIX exceeds a ...
Naresh Bansal, Chris Stivers
wiley +1 more source
Volatility ≠ Risk: When Timing Alpha in Crypto Markets Reflects Mispricing
Financial Review, EarlyView.ABSTRACT Volatility timing in cryptocurrency markets generates significant alpha, but only during periods of loose monetary policy and high uncertainty. Analyzing S&P crypto indices (2017–2023) dominated by large‐cap assets, we show realized volatility can reflect noise‐driven speculative flows, not risk compensation. This effect is strongest for small‐
Arben Kita, Yue Zhang
wiley +1 more source
Estimating and testing intertemporal preferences: A unified framework for consumption, work and savings [PDF]
Five waves of the Panel Study of Income Dynamics (PSID), 1985-1989 including both wealth supplements, are used to construct an intertemporal budget constraint for selected single headed households.
William Chin
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