Monetary policy, asset prices and actuarial practice

Author(s):

Philip Booth


The operation of monetary policy may have an impact on securities markets and asset values. This is of relevance to many in the actuarial industry, particularly to actuaries who work in non-bank financial institutions such as pension funds and insurance companies.

This review paper presents mainstream theories of monetary policy and draws out the implications that are regarded as most important for actuaries and actuarial research.

Updated: 14/01/2013
Comments:
Views: 3,675

What does equity sector orderflow tell us about the economy?

Investors rebalance their portfolios as their views about expected returns and risk change.

In this study empirical measures of portfolio rebalancing were used to back out investors' views, specifically their views about the state of the economy.

Contrary to many theories of price formation, did trading activity therefore contain information that that is not entirely revealed by resulting relative price changes?

Updated: 23/08/2014
Comments: 6
Views: 4,067

Short-Selling Bans around the World: Evidence from the 2007-09 Crisis

Author(s):

Alessandro Beber

Topic:
Finance

Most regulators around the world reacted to the 2007-09 crisis by imposing bans or constraints on short-selling. These were imposed and lifted at different dates in different countries, often applied to different sets of stocks and featured varying degrees of stringency. This 2011 article by Professor Alessandro Beber explores the ban on short-selling to identify their effects on liquidity, price discovery and stock prices.

Updated: 14/01/2013
Comments:
Views: 4,140

Value averaging and the automated bias of performance measures

Value averaging is a formula investment strategy which can be shown to achieve a lower average cost and higher IRR than alternative strategies.

Updated: 30/08/2014
Comments: 8
Views: 3,742

Measuring investors historical returns: hindsight bias in dollar-weighted returns

In this paper we show that this approach is affected by hindsight bias in the dollar-weighted return.

Updated: 03/11/2011
Comments:
Views: 3,658

Dollar cost averaging - the role of cognitive error

This paper shows that DCA's continued popularity can be regarded as the result of a specific and demonstrable cognitive error.

Updated: 18/08/2014
Comments: 3
Views: 4,487

Downside risk and the size of credit spreads

We use a panel of investment-grade corporate bonds to investigate why credit spreads are so much larger than expected losses from default. We begin by confirming that systematic factors contribute very little to spreads, even if higher moments or downside effects are incorporated.

Updated: 24/10/2011
Comments:
Views: 5,317

The flow-performance relationship around the world

We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We find that flows are convex in past performance creating an incentive for managers to take excessive risk.

Updated: 24/10/2011
Comments:
Views: 5,225

Sector, region or function? A MAD reassessment of real estate diversification in Great Britain

Author(s):

Stephen Lee

 et al.

This paper re-examines whether it is more advantageous in terms of risk reduction to diversify by sector or region by comparing the performance of the 'conventional' regional classification of the UK with one based on modern socio-economic criteria using a much larger real estate data set than any previous study and the MAD portfolio approach.

Updated: 24/10/2011
Comments:
Views: 4,720