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International Political Economy: Investment & Finance eJournal最新文献

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Alternative Investing: The Fairy Tale And The Future 另类投资:童话和未来
International Political Economy: Investment & Finance eJournal Pub Date : 2021-08-14 DOI: 10.2139/ssrn.3905232
Richard M. Ennis
{"title":"Alternative Investing: The Fairy Tale And The Future","authors":"Richard M. Ennis","doi":"10.2139/ssrn.3905232","DOIUrl":"https://doi.org/10.2139/ssrn.3905232","url":null,"abstract":"A fairy tale has sustained alternative investing since the Global Financial Crisis (GFC) of 2008. Here I parse the fairy tale and then set the stage for the future of institutional investing. Freed of the misperception that maintaining several asset-class silos is necessary to achieve efficient diversification, institutional investors will begin to simplify asset allocation. Implicit here is the understanding that alternative investments are purely active strategies. Their role in the portfolio is more transitory than that of stocks and bonds, which are the essential building blocks of efficient diversification. Over time, we can expect to see fewer, more comprehensive asset classes; allocators becoming more discriminating in their choice of individual alt investments; and lesser allocations to alternative investments overall. Successful allocators will use many fewer managers and incur lower costs. There really is no other way forward.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122046237","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Delegated Recruitment and Hiring Distortions 委托招聘和扭曲招聘
International Political Economy: Investment & Finance eJournal Pub Date : 2021-08-13 DOI: 10.2139/ssrn.3905019
Jacob Kohlhepp, S. Aleksenko
{"title":"Delegated Recruitment and Hiring Distortions","authors":"Jacob Kohlhepp, S. Aleksenko","doi":"10.2139/ssrn.3905019","DOIUrl":"https://doi.org/10.2139/ssrn.3905019","url":null,"abstract":"A firm delegates search for a worker to a recruiter. Productivity is uncertain prior to hire with recruiter beliefs characterized by an expectation and variance. Delegation occurs using a refund contract which is common in the industry. We analyze how delegation in this setting shapes search behavior and the composition of hires. We demonstrate that delegation is theoretically equivalent to making the search technology less accurate. This generates inefficiency: search effort and social surplus are lower under delegation than in the first-best benchmark. We show this inefficiency is driven by moral hazard with a multitasking flavor. The recruiter wastes search effort finding low variance workers at the expense of high expectation workers. As a result, as workers become more homogeneous with respect to productivity variance, delegation becomes more efficient. Our model provides a microfoundation for variance-based statistical discrimination.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116987963","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Robust Consumption-Investment With Return Ambiguity: A Dual Approach With Risk Ambiguity 收益模糊的稳健消费-投资:风险模糊的双重方法
International Political Economy: Investment & Finance eJournal Pub Date : 2021-08-11 DOI: 10.2139/ssrn.3920079
Kyunghyun Park, H. Y. Wong
{"title":"Robust Consumption-Investment With Return Ambiguity: A Dual Approach With Risk Ambiguity","authors":"Kyunghyun Park, H. Y. Wong","doi":"10.2139/ssrn.3920079","DOIUrl":"https://doi.org/10.2139/ssrn.3920079","url":null,"abstract":"Consider a robust consumption-investment problem for a risk- and ambiguity-averse investor who is concerned about return ambiguity in risky asset prices. When the investor aims to maximize the worst-case scenario of his/her consumption-investment objective, we propose a dual approach to the robust optimization problem in a dual economy with risk ambiguity. Using the G-expectation framework, we establish the duality theorem to bridge between the primal problem with return ambiguity and the dual problem with risk ambiguity, and hence characterize the robust strategy for a general class of utility functions subject to the non-negative consumption rate and wealth constraints. The risk ambiguity in the dual problem induces correlation ambiguity when the primal economy comprises multiple risky assets with return ambiguity. By analyzing the dual economy, we show that the robust investment strategy favors a sparse portfolio, in addition to its usual feature---having the least exposure to ambiguity risk.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129986999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Interdependent Investments in Attached and Movable Assets under Insecure Land Rights 无担保土地权益下的依附资产和流动资产的相互依赖投资
International Political Economy: Investment & Finance eJournal Pub Date : 2021-08-10 DOI: 10.2139/ssrn.3902882
M. Ma
{"title":"Interdependent Investments in Attached and Movable Assets under Insecure Land Rights","authors":"M. Ma","doi":"10.2139/ssrn.3902882","DOIUrl":"https://doi.org/10.2139/ssrn.3902882","url":null,"abstract":"The literature concludes that insecure land rights cause farms to make suboptimal investment in attached assets, but not in movable assets. However, the two asset types are interdependent, and investment in attached assets affects investment in movable assets through changing the farm infrastructure. I develop a conceptual model to explain why tenure insecurity incentivizes a farm to under-invest in attached assets and over-invest in low-efficiency movable assets. Simulations based on the model suggest that the sub-optimal investment results in considerable economic loss. The findings have important policy implications regarding land reforms and farm infrastructure in developing economies.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127878927","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Long-term Investors, Demand Shifts, and Yields 长期投资者、需求变化和收益率
International Political Economy: Investment & Finance eJournal Pub Date : 2021-08-08 DOI: 10.2139/ssrn.3901466
Kristy A. E. Jansen
{"title":"Long-term Investors, Demand Shifts, and Yields","authors":"Kristy A. E. Jansen","doi":"10.2139/ssrn.3901466","DOIUrl":"https://doi.org/10.2139/ssrn.3901466","url":null,"abstract":"I use detailed data on bond and derivative positions of pension funds and insurance companies (P&Is) in the Netherlands to study demand shifts and their causal effect on yields. In particular, I exploit a reform in the regulatory discount curve that made the liabilities more sensitive to changes in the 20-year interest rate but less so to longer maturity rates. Following the reform, P&Is reduced their longest maturity holdings but increased those with maturities close to 20 years. The aggregate demand shift led to a steepening of the long-end of the yield curve with lower yields around 20-year maturities and higher yields at longer maturities. Similar effects on yields appear in a large panel of European countries after EU insurance regulations implemented the same regulatory reform. My findings have important policy implications, as they indicate that the regulatory framework of long-term investors directly affects the governments’ cost of borrowing.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"150 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132283577","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Credit-Informed Tactical Asset Allocation - 10 Years On 信用信息战术资产配置- 10年
International Political Economy: Investment & Finance eJournal Pub Date : 2021-08-06 DOI: 10.2139/ssrn.3900737
David Klein
{"title":"Credit-Informed Tactical Asset Allocation - 10 Years On","authors":"David Klein","doi":"10.2139/ssrn.3900737","DOIUrl":"https://doi.org/10.2139/ssrn.3900737","url":null,"abstract":"This paper takes a look back at the original Credit-Informed Tactical Asset Allocation paper published in June 2011 and extends the model to address some of the weaknesses identified in the original paper.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"157 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121105491","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asset Pricing Implications of the Mismatch Between Performance Window and Benchmark Duration 业绩窗口与基准期限不匹配对资产定价的影响
International Political Economy: Investment & Finance eJournal Pub Date : 2021-08-01 DOI: 10.2139/ssrn.3852487
Idan Hodor, F. Zapatero
{"title":"Asset Pricing Implications of the Mismatch Between Performance Window and Benchmark Duration","authors":"Idan Hodor, F. Zapatero","doi":"10.2139/ssrn.3852487","DOIUrl":"https://doi.org/10.2139/ssrn.3852487","url":null,"abstract":"This paper studies the mismatch between asset managers' performance window and the time average of their benchmark dividend payouts, commonly referred to as duration. Our asset pricing equilibrium mechanism provides the first plausible theoretical foundation for the recent empirical findings showing that the risk premium, volatility, and Sharpe ratio on short-term dividend strips are higher than long-term dividend strips. These findings are at odds with the leading equilibrium asset pricing models, such as long-run risk, external habit formation, and rare disaster risk models. Our continuous-time setup admits precise closed-form expressions. We provide novel empirical evidence to support other model predictions.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123745630","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Benchmarking, Product Markets, and Real Effects 基准，产品市场和实际效果
International Political Economy: Investment & Finance eJournal Pub Date : 2021-08-01 DOI: 10.2139/ssrn.3897160
Varun Sharma
{"title":"Benchmarking, Product Markets, and Real Effects","authors":"Varun Sharma","doi":"10.2139/ssrn.3897160","DOIUrl":"https://doi.org/10.2139/ssrn.3897160","url":null,"abstract":"There has been a considerable increase in the assets under management by institutional investors that follow a benchmark. This paper investigates whether and how benchmarking can influence firms' product market outcomes and provide a competitive advantage to large firms. I compile an investor-firm-product-household match micro-level dataset. Exploiting quasi-experimental variation in the investor composition, I show that after an increase in benchmark-constrained investors, firms (i) reduce product prices, especially for products with lower market share, (ii) generate higher sales, but at the cost of lower profitability, and (iii) introduce new products and diversify. The reduction in prices expands the product affordability of low-income households. In addition, I provide evidence that benchmark-constrained investors influence product markets by reducing firms' equity issuance costs. Using a model with product-level habits, I show that firms lower their product prices and forgo current profits in favor of higher market share in response to the reduction in the equity issuance cost. Results suggest that benchmarking can expand product choices for low-income households but potentially at the threat of higher market concentration.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"5 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128837253","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Buffetology's Use in Stock Trading Amid the COVID-19 Pandemic 在COVID-19大流行期间，巴菲特学在股票交易中的应用
International Political Economy: Investment & Finance eJournal Pub Date : 2021-07-31 DOI: 10.2139/ssrn.3896854
Dwi Bhakti, Hidayat Sofyan Widjaja, Dihin Septyanto
{"title":"Buffetology's Use in Stock Trading Amid the COVID-19 Pandemic","authors":"Dwi Bhakti, Hidayat Sofyan Widjaja, Dihin Septyanto","doi":"10.2139/ssrn.3896854","DOIUrl":"https://doi.org/10.2139/ssrn.3896854","url":null,"abstract":"The impact of the COVID-19 Pandemic has affected the whole of human life, including the world capital market and all its problems. COVID-19 has influenced trading patterns in the capital market, both in terms of trade rules that are superstructure and capital market infrastructure itself. Indonesia's economic turmoil is not only caused by the pandemic COVID-19, but also by several financial scandals such as the Jiwasraya, Asabari and several moral hazards by stock market brokers. The moment of capital outrage at the moment is like a honeymoon in stock trading that occurs during an extreme event. Some events that have caused the world capital market to fall deeply, are the Black Tuesday 1988, the monetary crisis in Indonesia and Asia in 1998, the global financial crisis in 2008, and most recently the pandemic COVID-19 phenomenon that began in 2020. The extent to which Buffettology's role in investment decision making by Investment managers in the Indonesian capital market is the aim of the author's research. The main finding of this study is the prospectus of vigilant leader company as a determinant in making investment decisions both in normal situations and in the midst of a pandemic. This research will be very essential for investment and financial decision makers and for the Financial Services Authority (OJK) in Indonesia. This is because the wrong decisions of investment managers, as well as the company's performance with a stock price characterized by Roller Coaster (called saham gorengan) is a special concern for OJK to take decisive action for the sustainability of a healthy and conducive Indonesia Capital Market for investors.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130222616","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Crypto Literacy in Peer-to-Peer Lending 点对点借贷中的加密知识
International Political Economy: Investment & Finance eJournal Pub Date : 2021-07-30 DOI: 10.2139/ssrn.3897180
Laura González
{"title":"Crypto Literacy in Peer-to-Peer Lending","authors":"Laura González","doi":"10.2139/ssrn.3897180","DOIUrl":"https://doi.org/10.2139/ssrn.3897180","url":null,"abstract":"The 2008 and 2020 crises reinvigorated discussions on the democratization of finance. Peer-to-peer (P2P) lending is a valuable option worldwide, but credit risk is high. To encourage investors, P2P platforms use blockchain and the option of crypto as collateral. This study examines lender views on crypto and options to effectively support financial literacy and inclusion. It considers 663 pro-social lending decisions by finance students on a mock P2P site where testimonials conditioned participants towards pro-social decision making. After making three lending decisions, participants were asked about changes in the case of different collaterals. Overall, pro-social P2P lenders find crypto riskier than traditional collateral. More specifically, loan applications can be funded more quickly with a pledge of 20% in traditional collateral but not in crypto assets or crypto currency. Furthermore, loan popularity among other lenders also persuades investors, and lender projections of financial literacy influence decision confidence, unlike traditional collateral. Thus, crypto collateral options in P2P platforms do not seem to support financial inclusion. However, upcoming more stable digital currencies backed by central banks are arguably more likely to be considered reliable collateral. This would effectively democratize P2P lending provided there is behavioral financial literacy as well.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"93 10","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120856387","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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