Carbon policy faces an intractable trade-off: while credible commitment to future policy improves the dynamic efficiency of incentives it imposes costs in form of reduced flexibility to respond to changing circumstances. Investors favor long-term stability of the regulatory regime. But considerable uncertainty prevails, resulting in increased market risks and investment hold-up. Uncertainty ste...

We examine how the evidence of predictability in asset returns a ects optimal portfolio choice for investors with long horizons. Particular attention is paid to estimation risk, or uncertainty about the true values of model parameters. We nd that even after incorporating parameter uncertainty, there is enough predictability in returns to make investors allocate substantially more to stocks, the...

This paper investigates the impact of mergers and acquisitions (M&A) on corporate performance. This article selects 36 M&A cases of China’s listed real estate companies in Shanghai and Shenzhen Stock Exchanges from 2008 to 2009. Regarding the corporate value in 2011 as the measure of the long-term performance, we will explore the relationship among check-and-balance Ownership Structure, board s...

A review of the theoretical properties of the GMM with a continuum of moment conditions is presented. Numerical methods for its implementation are discussed. A simulation study based on the stable distribution and an empirical application based on the autoregressive variance Gamma model are performed. Using the Alcoa price data, the …ndings suggest that investors require a positive premium for ...

This paper presents empirical evidence of long range dependence in returns and volatility for banking indices for 41 different countries. We employ the Rescaled Hurst analysis and develop a formal statistical procedure to test for long range dependence. This procedure allows to rank these countries by relative inefficiency, which can provide guidance for investors and portfolio managers. Keywor...

I test the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing trading records for 10,000 accounts at a large discount brokerage house. These investors demonstrate a strong preference for realizing winners rather than losers. Their behavior does not appear to be motivated by a desire to rebalance portfolios, or to...

This paper analyses the shortand long-term relationships between hedge funds and traditional financial assets for the main emerging market regions of Asia, Latin America, and Eastern Europe by using multivariate cointegration analysis. Because cointegrated assets are tied together over the long term, a portfolio consisting of these assets lowers uncertainty and should therefore be preferred by ...

The boom in food prices over the past 15 years and associated volatility in food prices has prompted relatively wealthy countries dependent on imports to renew their focus on policies to enhance food security. This has in turn prompted many of them to search for opportunities to secure food supply internationally. Coupled with a depressed yields in other assets such as equities and bonds, the f...

This paper sheds empirical light on whether investor sentiment affects the profitability of price momentum strategies. We hypothesize that when investors are optimistic, their expectations will be more miscalibrated relative to those obtained from objective probabilities, and arbitrage will be more difficult with short-selling constraints. Our results show that momentum rises only when investor...