金融高端论坛 第一百零二期 【本期主题】Best Ideas【摘要】We find that the stocks that active managers display the most conviction towards ex-ante, their “Best Ideas,” outperform the market, as well as the other stocks in those managers' portfolios, by approximately 2.5 to 4.5 percent per year, depending on the benchmark employed. The other stocks managers hold do not exhibit significant outper...
【本期主题】Convex Bounds Approximation Method for Risk Aggregations with Applications in Option Pricing and Capital AllocationIn this talk, I briefly introduce an approximation method based on convex bounds for the applications related with risk aggregation. In particular, I shall talk about the applications of this method in Asian option pricing, basket option pricing, spread option pricing a...
【本期主题】Active Monetary or Fiscal Policy and Stock-Bond CorrelationWe propose a New Keynesian model with monetary-fiscal policy regime switch to explain the time-varying correlation between returns on the market portfolio and nominal Treasury bonds found in the data. In the active monetary and passive fiscal policy (AMPF) regime, neutral technology (NT) and marginal efficiency of investment...
【本期主题】Stock Dividends, Gambling Clientele, and Cost of Equity【摘要】What are the benefits to a firm of having retail-gambling investors as shareholders? Motivated by studies showing that gambling clientele requires a lower rate of return to take risk, we hypothesize that firms can use stock dividends to attract investors with gambling preference to share risk and to lower cost of equity....
【本期主题】Compound Utility Theory and Asset Pricing【摘要】Compound utility theory (Zou, 2006 AEF) proposes a two-stage process for decision making under risk. In the first stage, the decision maker evaluates his expected utility EU for upside reward and expected disutility ED to downside risk of all feasible actions. He then chooses in the second stage the action that offers the best utility...