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Page - acrobat - 12/27/2009 - 06:34 - 0 comments - 0 attachments
Ebook Portfolio Choice Problems
Submitted by puput on Mon, 04/25/2011 - 07:56After years of relative neglect in academic circles, portfolio choice problems are again at the forefront of financial research. The economic theory underlying an investor’s optimal portfolio choice, pioneered by Markowitz (1952), Merton (1969,1971), Samuelson (1969), and Fama (1970), is by now well understood. The renewed interest in portfolio choice problems follows the relatively recent empirical evidence of time-varying return distributions (e.g., predictability and conditional heteroskedasticity) and is fueled by realistic issues including model and parameter uncertainty, learning, background risks, and frictions. The general focus of the current academic research is to identify key aspects of real-world portfolio choice problems and to understand qualitatively as well as quantitatively their role in the optimal investment decisions of individuals and institutions.
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Ebook Real-Financial Market Interactions and Macroeconomic Stabilization Policies
Submitted by puput on Wed, 10/05/2011 - 02:19The impact of a financial market crisis on the real side of the economy have long been studied. Extensive work has been undertaken to understand the Asian currency and financial crises in the years 1997/8 as well as the stock market meltdown after the burst of the IT asset price bubble. Yet, the current financial crisis is less well understood. It seems to be neither a financial crisis triggered by a currency run, nor by the burst ofa technology bubble, but rather a crisis originating in the financial market in one of the most advanced countries of the world economy, the US.
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Ebook Stock Market Returns and Political Business Cycles
Submitted by wulan on Wed, 06/16/2010 - 06:25One of the most striking and persistent anomalies observed in U.S. financial markets is the apparent linkage between stock market returns and the four year cycles associated with the presidential election political process.
In particular, stock market returns are much higher on average during Democratic presidencies than during Republican administrations. Figure 1 illustrates that, over the 1948-2009 time period, the average of annual excess returns for large company stocks is 11.82 percent during Democratic administrations compared to only 5.05 percent during Republican administrations. For small company stocks the difference in average excess returns is even higher, averaging 17.64 and 6.79 percent during Democratic and Republican administrations, respectively. This partisan effect is quite remarkable given the depth, liquidity, and presumed efficiency of the U.S. equity markets.
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