| 1. |
- Asgharian, Hossein, et al.
(författare)
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Institutional Quality, Trust, and Stock Market Participation : Learning to Forget
- 2024
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Ingår i: Quarterly Journal of Finance. - 2010-1392 .- 2010-1406.
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we explore the relations among institutional quality, households’ level of trust, and stock market participation. We find that institutional quality has a significant impact on both trust and participation. The individual level of trust significantly affects participation, but trust plays a small role in the effect of institutional quality on participation. Further, we demonstrate that immigrants are affected by the institutional quality of both their country of residence and their home country, and that education emerges as an important learning factor in immigrants’ adaptation to new institutional environments.
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| 2. |
- Asgharian, Hossein, et al.
(författare)
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Institutional Quality, Trust and Stock-Market Participation: Learning to Forget
- 2014
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We explore the relation between institutional quality, trust and stock-market participation. In our theoretical model, agents update their beliefs in a Bayesian manner based on observations on frauds and choose whether to invest in the stock market. The corresponding empirical model shows that institutional quality affects trust and that the part of trust that is explained by institutional quality influences stock-market participation. For immigrants, we consider learning factors, such as education and duration of stay, and we find that the impact of the institutional quality of the country of residence, relative to that of the home country, tends to increase with education.
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| 3. |
- Fischer, Thomas, et al.
(författare)
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Unequal Returns: Using the Atkinson Index to Measure Financial Risk
- 2018
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We apply the Atkinson (1970) inequality index to time series of asset returns to offer a novel measure of financial risk consistent with expected-utility theory. This measure is converted to a certainty-equivalent return serving as a performance measure. We extend the Atkinson index to HARA utility and derive closed-form solutions to our measures for a number of preference-return combinations. Further, we establish relationships between risk aversion and the weights assigned to the cumulants of the return distribution for our performance measure. Using data from hedge funds and asset-pricing anomalies, we find that our performance measure contains additional, economically meaningful information.
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| 4. |
- Fischer, Thomas, et al.
(författare)
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Unequal returns : Using the Atkinson index to measure financial risk
- 2020
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Ingår i: Journal of Banking and Finance. - : Elsevier BV. - 0378-4266. ; 116
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Tidskriftsartikel (refereegranskat)abstract
- We apply the Atkinson (1970) inequality index to time series of asset returns to offer a novel measure of financial risk consistent with expected-utility theory. This measure is converted to a certainty-equivalent return serving as a performance measure. We extend the Atkinson index to HARA utility and derive closed-form solutions to our measures for a number of preference-return combinations. Further, we establish relationships between risk aversion and the weights assigned to the cumulants of the return distribution for our performance measure. Using data from hedge funds and asset-pricing anomalies, we find that our performance measure contains additional, economically meaningful information.
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| 5. |
- Hardardottir, Hjördis, et al.
(författare)
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Risk aversion, noise, and optimal investments
- 2017
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Ingår i: Journal of Portfolio Management. - : Pageant Media US. - 0095-4918 .- 2168-8656. ; 43:3, s. 51-59
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Tidskriftsartikel (refereegranskat)abstract
- In contrast to the efficient market hypothesis (EMH), the noisy market hypothesis (NMH) asserts that prices are but noisy indications of fundamental values. The authors study losses in certainty equivalents of investing according to one hypothesis (NMH or EMH) when the other is true. Their findings suggest that, for reasonable parameter values, investing according to the EMH when the NMH is true yields lower losses than investing according to the NMH when the EMH is true. Further, investing according to the right hypothesis is much more important for risk-tolerant investors than for risk-averse investors.
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| 6. |
- Hilling, Axel, et al.
(författare)
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Tax avoidance and state ownership : The case of Sweden
- 2021
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Ingår i: Economics Letters. - : Elsevier BV. - 0165-1765. ; 208
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Tidskriftsartikel (refereegranskat)abstract
- We propose a simple theoretical model for how a company with both private and state shareholders decides on its optimal tax policy. The model predicts that even in the absence of state shareholding, a company will not always pick a tax policy that minimizes taxes. Conversely, majority state ownership will generally not result in zero tax avoidance. Using panel regressions on the entire population of state-owned as well as publicly listed Swedish companies from 2000–2019, we find that a one standard deviation increase in state ownership increases corporate tax payments by around 14%.
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| 7. |
- Leoni, Patrick, et al.
(författare)
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Information, stochastic dominance and bidding : The case of Treasury auctions
- 2017
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Ingår i: Economics Letters. - : Elsevier BV. - 0165-1765. ; 153, s. 80-82
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Tidskriftsartikel (refereegranskat)abstract
- We explore the link between informativeness of signals, stochastic dominance and equilibrium bids in a multi-unit auction with risk averse bidders. We show that for a particular class of signal distributions, informativeness is related to conditional first-order stochastic dominance, so that a higher degree of informativeness in the signal-fundamental distribution induces higher bids and therefore higher revenues. Our framework is relevant for discussing total revenues and informativeness in US Treasury auctions.
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| 8. |
- Lundtofte, Frederik
(författare)
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A Note on the Pricing of IPOs
- 2010
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Ingår i: Economics Letters. - : Elsevier BV. - 0165-1765. ; 106:2, s. 105-107
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Tidskriftsartikel (refereegranskat)abstract
- This paper studies the pricing of IPOs in a tractable model in which an investment bank faces some investors with superior information. We show how this can lead to underpricing and, based on our model, we make a number of empirical predictions.
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| 9. |
- Lundtofte, Frederik
(författare)
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Banks' pooling of corporate debt: An application of the restated diversification theorem
- 2015
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Ingår i: The North American Journal of Economics and Finance. - : Elsevier BV. - 1062-9408. ; 31, s. 249-263
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Tidskriftsartikel (refereegranskat)abstract
- We analyze banks' pooling of corporate loans and propose Pareto-improving sharing rules that depend only on the relative sizes of the loans. Implementation of these sharing rules do not require any precise knowledge of default probabilities or default correlations. (C) 2014 Elsevier Inc. All rights reserved.
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| 10. |
- Lundtofte, Frederik
(författare)
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Can An "Estimation Factor" Help Explain Cross-Sectional Returns?
- 2009
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Ingår i: Journal of Business Finance & Accounting. - : Wiley. - 0306-686X .- 1468-5957. ; 36:5-6, s. 705-724
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Tidskriftsartikel (refereegranskat)abstract
- We show in a theoretical model that the expected excess return on any asset depends on its covariance not only with the market portfolio, but also with changes in the representative agent's estimate. We test our model by using GMM and compare it to the CAPM. The results suggest that adding an "estimation factor" to the CAPM helps in explaining cross-sectional returns and that, unconditionally, this estimation factor carries a negative risk premium.
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