infonet-economy

Many researchers seek factors that predict the cross-section of stock returns. The standard methodology sorts stocks according to their factor scores into quantiles and forms a corresponding long-short portfolio. Such a course of action ignores any information on the covariance matrix of stock returns. Historically, it has been difficult to estimate the covariance matrix for a large...

This paper studies incentives for the interim voluntary disclosure of verifiable information in probabilistic all-pay contests. Considered are unfair contests, i.e., contests in which, subject to activity conditions, one player (the favorite) is interim always more likely to win than the other player (the underdog). A condition is identified that ensures that a given contest is...

We make use of the universe of immigrants who arrived in Switzerland between 1992 and 2013, granular community level house price and wage data as well as detailed information on the Swiss population to study the effects of immigration on the location choice of incumbent households. Immigration influences a household’s location choice through three distinct channels: house price...

We extend the analysis of the theoretical interbank market model of Gale and Yorulmazer (2013) by introducing randomized trading (lotteries). In contrast to Gale and Yorulmazer, we find that fire-sale asset prices are efficient and that no liquidity hoarding occurs in equilibrium with lotteries. While Gale and Yorulmazer find that the market provides insufficient liquidity, we find...

This paper investigates time variation in the dynamics of international portfolio equity flows. We extend the empirical model of Hau and Rey (2004) by embedding a two-state Markov regime-switching model into the structural VAR. The model is estimated using monthly data for the period 1995-2015 on equity returns, exchange rate returns and equity flows between the United States and...

We derive daily market‐based domestic long‐term inflation expectations for eight countries without inflation swap markets. To do so, we use foreign inflation swaps together with (1) foreign and domestic interest rate swaps assuming that purchasing power parity (PPP) and uncovered interest rate parity (UIP) hold or together with (2) spot and forward exchange rates assuming...

Sigmund Freud sagt: «Der Mensch ist ein unermüdlicher
Lustsucher, und jeder Verzicht
auf eine einmal genossene Lust wird ihm sehr
schwer.» Der Schweizer Handel kann davon
ein Lied singen. Die Lust, im alltäglichen Einkauf
grosse Summen zu sparen, hat viele Konsumenten
immer öfter in die grenznahen Einkaufsgebiete gedrängt.
Vom starken Franken...