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In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the aut[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbanc[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage deb[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is great[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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This paper studies the interaction between adverse selection, liquidity risk and beliefs about systemic risk in determining market liquidity, asset prices and welfare. Ev[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities sig[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, w[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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The author analyzes a general-equilibrium model of a heterogeneous agents economy in which the agents are subject to borrowing constraints and uninsurable idiosyncratic p[...]
2005 | Text | Staff Working Paper - Document de travail du personnel |
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