Auflistung LIF-SAFE Working Papers nach JEL-Klassifizierung "G11"
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"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors
(2015-07-31)In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with ... -
Optimal Asset Allocation for Interconnected Life Insurers in the Low Interest Rate Environment Under Solvency Regulation
(2014-12-01)I assess how Basel III, Solvency II and the low interest rate environment will affect the financial connection between the bank and insurance sector by changing the funding patterns of banks as well as the investment ... -
Optimal Consumption and Investment with Epstein-Zin Recursive Utility
(2016-07-04)We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ... -
Optimal Consumption and Portfolio Choice with Loss Aversion
(2016-05-16)This paper analyses the consumption-investment problem of a loss averse investor equipped with s-shaped utility over consumption relative to a time-varying reference level. Optimal consumption exceeds the reference level ... -
Optimal Social Security Claiming Behavior under Lump Sum Incentives: Theory and Evidence
(2017-01-31)People who delay claiming Social Security receive higher lifelong benefits upon retirement. We survey individuals on their willingness to delay claiming later, if they could receive a lump sum in lieu of a higher annuity ... -
Option-Implied Information and Predictability of Extreme Returns
(2013-01-28)We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ... -
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
(2013-04-18)This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ... -
Peer Effects and Risk Sharing in Experimental Asset Markets
(2015-02-02)Previous research has documented strong peer effects in risk taking, but little is known about how such social influences affect market outcomes. Since the consequences of social interactions are hard to isolate in financial ... -
Portfolio Similarity and Asset Liquidation in the Insurance Industry
(2018-07-30)An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine ... -
Predictors and Portfolios Over the Life Cycle
(2018-06-08)In a calibrated consumption-portfolio model with stock, housing, and labor income predictability, we evaluate the welfare effects of predictability on life-cycle consumption-portfolio choice. We compare skilled investors ... -
Putting the Pension Back in 401(k) Plans: Optimal versus Default Longevity Income Annuities
(2016-09-29)Most defined contribution pension plans pay benefits as lump sums, yet the US Treasury has recently encouraged firms to protect retirees from outliving their assets by converting a portion of their plan balances into ... -
Risk Taking, Preferences, and Beliefs: Evidence from Wuhan
(2020-03-24)We study risk taking in a panel of subjects in Wuhan, China - before, during the COVID-19 crisis, and after the country reopened. Subjects in our sample traveled for semester break in January, generating variation in ... -
Smart (Phone) Investing? A Within Investor-Time Analysis of New Technologies and Trading Behavior
(2021-02-02)Using transaction-level data from two German banks, we study the effects of smartphones on investor behavior. Comparing trades by the same investor in the same month across different platforms, we find that smartphones ... -
Smoking Hot Portfolios? Self-Control and Investor Decisions
(2019-09-01)Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions which has hardly been measurable in empirical research. We use cigarette addiction identified from ... -
Smoking Hot Portfolios? Self-Control and Investor Decisions
(2019-03-01)Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions which has hardly been measurable in empirical research. We use cigarette addiction identified from ... -
Stock Ownership and Political Behavior: Evidence from Demutualizations
(2013-12-12)A setting in which customer-owned mutual companies converted to publicly listed firms created a plausibly exogenous shock to salience of stock ownership. We use this shock to identify the effect of stock ownership on ... -
Systemic Co-Jumps
(2016-10-10)The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and ... -
Taring All Investors with the Same Brush? Evidence for Heterogeneity in Individual Preferences from a Maximum Likelihood Approach
(2015-05-19)Abstract. Microeconomic modeling of investors behavior in financial markets and its results crucially depends on assumptions about the mathematical shape of the underlying preference functions as well as their parameterizations. ... -
The Disposition Effect in Boom and Bust Markets
(2021-02-05)The disposition effect is implicitly assumed to be constant over time. However, drivers of the disposition effect (preferences and beliefs) are rather countercyclical. We use individual investor trading data covering several ... -
The Effect of Personal Financing Disruptions on Entrepreneurship
(2018-10-14)This paper studies how disruptions to personal sources of financing, aside from commercial lending supply shocks, impair the survival and growth of small businesses. Entrepreneurs holding deposit accounts at retail banking ...