Monetary policy and behavioural finance

Author(s):

Keith Cuthbertson

 et al.
Topic:
Finance

There have been major advances in both theory and econometric techniques in mainstream macro-models and parallel advances in knowledge of the monetary transmission mechanism acting via asset prices.

Updated: 22/09/2011
Comments:
Views: 5,764

Locking in the profits or putting it all on black? An investigation into the risk-taking behaviour of hedge fund managers

In this paper we investigate the influence of two factors on the risk taking behaviour of hedge fund managers. The first factor is the past performance of the fund relative to the performance of each fund's peer. The second is the option-like features of the typical hedge fund manager's compensation structure.

Updated: 30/09/2011
Comments:
Views: 5,506

How many alternative eggs should you put in your investment basket?

Author(s):

Andrew Clare

 et al.

There is some debate about how many stocks can effectively eliminate most of the unsystematic risk in an equity portfolio.

Updated: 30/09/2011
Comments:
Views: 6,328

The gross truth about hedge fund performance and risk: the impact of incentive fees

In this paper, we show that due to the particular nature of hedge fund incentive contracts, the use of net of fee returns can lead to considerably biased estimates of factor exposures which can distort the picture of fund manager performance.

Updated: 22/09/2011
Comments:
Views: 5,546

The impact of changing demographics and pensions on the demand for housing and financial assets

The main aim of this paper is to to analyse the impact of shifting demographics and changes in pension arrangements in a model which includes housing both as an investment asset and a consumption good.

Updated: 22/09/2011
Comments:
Views: 5,544

Perspectives: designing a defined-contribution plan - what to learn from aircraft designers

This article uses the framework of designing a commercial aircraft to illustrate how a personal defined-contribution (DC) pension plan should be designed if it is to achieve its objective of delivering an adequate and secure retirement pension. The article's suggestions are based on similarities between a DC pension plan and an aircraft journey. For example, the strategic investment strategy is analogous to the aircraft, the plan provider is analogous to the aircraft operator, the contributions are analogous to the fuel, and the accumulation and decumulation stages are analogous to the climb and descent stages of the flight. The significant differences that exist between the two concepts are also highly instructive.

Updated: 22/09/2011
Comments:
Views: 5,510

A note on multivariate asset models using Levy processes

Author(s):

Laura Ballotta

Topic:
Finance

In this paper we propose a multivariate asset model based on Levy processes for pricing of products written on more than one underlying asset.

Updated: 22/09/2011
Comments:
Views: 5,408

Legal regime, size, and liquidity factors in asset pricing

Author(s):

Kate Phylaktis

Topic:
Finance

Emerging Markets Research Group, Cass Business School This study contrasts the ability of three liquidity constructs, the price-impact measure of Amihud (2002), the volume based turnover ratio, and the recently developed trading speed measure of Liu (2006) in explaining total trading costs for four large African emerging markets, Egypt, Morocco, Kenya and South Africa, as well as London and Paris.

Updated: 22/09/2011
Comments:
Views: 5,953

Accounting valuation and the credit crisis

Alistair Milne and Perry Mehrling, together with Laurence Kotlikoff of Boston University, propose using government credit insurance guarantees to combat the credit crisis. Their idea is to use these guarantees to put a floor under the prices of the better quality tranches of structured credit securities, hence restoring liquidity to credit markets and arresting the global credit contraction.

Updated: 21/10/2011
Comments:
Views: 33,376