47 research outputs found
Individual Account Investment Options and Portfolio Choice: Behavioral Lessons from 401(k) Plans
No full textThis paper examines how the menu of investment options made available to workers in defined contribution plans influences portfolio choice. Using unique panel data of 401(k) plans in the U.S., we present three principle findings. First, we show that the share of investment options in a particular asset class (i.e., company stock, equities, fixed income, and balanced funds) has a significant effect on aggregate participant portfolio allocations across these asset classes. Second, we document that the vast majority of the new funds added to 401(k) plans are high-cost actively managed equity funds, as opposed to lower-cost equity index funds. Third, because the average share of assets invested in low-cost equity index funds declines with an increase in the number of options, average portfolio expenses increase and average portfolio performance is thus depressed. All of these findings are obtained from a panel data set, enabling us to control for heterogeneity in the investment preferences of workers across firms and across time.
Reaction of Swiss Term Premia to Monetary Policy Surprises
No full textAn affine yield curve model is estimated on daily Swiss data 2002--2009. The market price of risk is modelled in terms of proxies for uncertainty, which are estimated from interest rate options. The estimated model generates innovations in the 3-month rate that are similar to external evidence of monetary policy surprises - as well as term premia that are consistent with survey data. The results indicate that a surprise increase in the policy rate gives a reasonably sized decrease (-0.25%) in term premia for longer maturities.affine price of risk, interest rate caps, survey data
Cyclical Properties of a Real Business Cycle Model.
No full textThis paper tests the well-known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts, and correlations are tested against U.S. post-war data using both asymptotic and small-sample distributions. Compared with the model, the data have shorter business cycles, smaller co-movements of different macro variables, and less of a leading role for output. Copyright 1994 by John Wiley & Sons, Ltd.
Prediction of stock returns (in Russian)
No full textThis essay describes the basics of the stock market analysis, gives a survey of simple methods of searching for predictive patterns in returns, as well as lists empirical evidence of such predictability.
What if the Fed had been an inflation nutter?
No full textA structural rational expectations model of US monetary policy is used to make a counterfactual experiment of a strongly inflation averse Federal Reserve Bank. Results for US interest rates, output, and inflation over 1965-1999 are discussed.
Predicting stock price movements: regressions versus economists
No full textThe forecasting performance of the Livingston survey and traditional prediction models of stock prices is analysed. The survey forecasts look similar to those from a 'too large' prediction model: poor out-of-sample performance and too sensitive to recent and irrelevant information.
Inflation Forecast Uncertainty
No full textWe study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-2001. Three popular measures of uncertainty built from survey data are analyzed in the context of models for forecasting and asset pricing, and improved estimation methods are suggested. Popular time series models are evaluated for their ability to reproduce survey measures of uncertainty. The results show that disagreement is a better proxy of inflation uncertainty than what previous literature has indicated, and that forecasters underestimate inflation uncertainty. We obtain similar results for output growth uncertainty.survey data; Survey of Professional Forecasters; GDP growth; VAR; T-GARCH
