Differences in beliefs and currency risk premia

Author(s):

Alessandro Beber

 et al.
Topic:
Finance

Standard asset pricing theories have difficulty explaining episodes that are not simply linked to fundamentals. Notable examples in the dynamics of capital markets are the equity premium puzzle or the excess volatility puzzle.

These puzzles have motivated an increasingly large literature over the last couple of decades that explores the general equilibrium implications of uncertainty for asset prices.This paper studies the importance of heterogeneous beliefs for the dynamics of asset prices.

Updated: 14/01/2013
Comments:
Views: 4,030

Risk management issues in European equity funds

Author(s):

Natasa Todorovic

 et al.
Topic:
Finance

The 2008 financial crisis highlighted the lack of effective risk management in the asset management industry. There was a lack of transparency and feasibility in the quantitative tools used to compute the value and risk management for the exotic credit derivatives products. Clearly, risk management was not well understood or used properly by financial companies that operated in this turbulent environment.

This paper provides a comprehensive analysis of current risk management practices of active European equity long-only funds and hedge funds.

Updated: 26/11/2014
Comments: 4
Views: 5,292

Are positive reactions to bad news plausible? The consideration of fraud in audit and reporting delays

Author(s):

Andrew Yim

Topic:
Finance

In June 2009 came the news of the alleged fraud in Countrywide Financial, one of the largest mortgage loan providers in the US before the credit crunch hit. The allegation against Countrywide reminded people of an unfulfilled role of auditors in the financial market: fraud detection.

Considering previous literature, the majority of which focuses on accounting fraud, this paper focuses on the misappropriation of assets and draws a range of conclusions.

Updated: 14/01/2013
Comments:
Views: 4,522

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: 4,002

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: 28/12/2014
Comments: 37
Views: 4,671

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: 18/12/2014
Comments: 2
Views: 4,565

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: 15/12/2014
Comments: 20
Views: 4,148

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: 3,946

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: 04/12/2014
Comments: 11
Views: 5,088