Asset Management, Human Capital, and the Market for Risky Assets PDF Download
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Author: Isaac Ehrlich
Publisher:
ISBN:
Category : Education
Languages : en
Pages : 76
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Book Description
Risky-asset prices are conventionally modeled as "fully (information-) revealing". Much less work has been done on how prices get to reveal information. Following the "noisy-prices", rational-expectations approach, our answer focuses on the micro-foundations of information acquisition and the role of human capital in asset, or risk, management. We derive testable propositions on how education and other determinants of asset management affect its intensity, risky-asset demand, and portfolio returns. We derive related insights concerning determinants of the level and volatility of asset prices and equity premiums. Using micro-level data on portfolio choices, we find that education raises both the portfolio share of risky assets and overall portfolio returns, while a measure of the opportunity cost of asset management has the opposite effects. Our results indicate a non-trivial return to education in generating non-wage income. They suggest that educational attainments directly affect the distribution of income as well as earnings.
Author: Isaac Ehrlich
Publisher:
ISBN:
Category : Education
Languages : en
Pages : 76
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Book Description
Risky-asset prices are conventionally modeled as "fully (information-) revealing". Much less work has been done on how prices get to reveal information. Following the "noisy-prices", rational-expectations approach, our answer focuses on the micro-foundations of information acquisition and the role of human capital in asset, or risk, management. We derive testable propositions on how education and other determinants of asset management affect its intensity, risky-asset demand, and portfolio returns. We derive related insights concerning determinants of the level and volatility of asset prices and equity premiums. Using micro-level data on portfolio choices, we find that education raises both the portfolio share of risky assets and overall portfolio returns, while a measure of the opportunity cost of asset management has the opposite effects. Our results indicate a non-trivial return to education in generating non-wage income. They suggest that educational attainments directly affect the distribution of income as well as earnings.
Author: Isaac Ehrlich
Publisher:
ISBN:
Category :
Languages : en
Pages : 43
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Book Description
Author: Isaac Ehrlich
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Takao Kobayashi
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Book Description
This study examines life-cycle optimal consumption and asset allocation in the presence of human capital. Labor income seems like a money market mutual fund whose balance in one or two years is predictable but a wide dispersion results after many years, reflecting fluctuations in economic conditions. We use the martingale method to derive an analytical solution, finding that Merton's well-known constant-mix strategy is still true after incorporating human capital from the perspective of total wealth management. Moreover, the proportion in risky assets implicit in the agent's human capital is the main factor determining the optimal investment strategy. The numerical examples suggest that young investors should short stocks because their human capital has large market exposure. As they age, however, their human capital becomes bond-like, and thus they have to hold stocks to achieve optimal overall risk exposure.
Author: Jong Kook Shin
Publisher:
ISBN:
Category :
Languages : en
Pages : 91
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Book Description
Although information asymmetry is gaining ground as the single most plausible explanation of home bias, little testable research has been done to analyze how such an information differential is formed and sustained in an efficient asset market. By extending the testable model of endogenous information pioneered by Ehrlich et al. (2008) to an economy with multiple risky assets, I develop new predictions concerning the diversity in "home bias" or portfolio concentration across different individuals and countries as a function of observable determinants of endogenous information asymmetry such as years of schooling and the wage rate or opportunity cost of asset management. Using international samples covering 23 countries over the peirod 2001 ~ 2007, I test theoretical predictions of the model and find strong supportive evidence. Then I provide an overview of the implications of this framework not empirically exploited in this contribution. They include a novel account concerning "flight-to-familiarity", volatility contagion and price disconnect. Finally, I suggest a strategy to estimate a measure that can rank-order the price information content (PIC) for future empirical work.
Author: Isaac Ehrlich
Publisher:
ISBN:
Category : Human capital
Languages : en
Pages : 42
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Book Description
Considerable attention has been devoted in the financial literature to excessive portfolio concentrations in domestic risky assets relative to those predicted by standard finance models - generally identified as "home bias"--Across international markets. The innovation we offer is ascribing home bias to endogenous information acquisition, or "asset management" (see EHY 2008), resulting from variations in human capital endowments. We develop discriminating hypotheses about the roles of "specific" and "general" human capital endowments and the direct and opportunity costs of asset management in determining how home bias varies among individual investors and across financial markets. Our model also provides insights concerning differences across countries in the degree to which their domestic asset prices are "information revealing". These hypotheses are tested against 8 national probability samples of individual portfolio compositions in the US over 1992-2007, and 7 international samples over 2001-2007 including 23 countries. The findings are consistent with our hypotheses.
Author: Wolfgang Bessler
Publisher: Routledge
ISBN: 1317979788
Category : Business & Economics
Languages : en
Pages : 414
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Book Description
This innovative volume comprises a selection of original research articles offering a broad perspective on various dimensions of asset management in an international capital market environment. The topics covered include risk management and asset pricing models for portfolio management, performance evaluation and performance measurement of equity mutual funds as well as the wide range of bond portfolio management issues. Asset Management and International Capital Markets offers interesting new insights into state-of-the-art asset pricing and asset management research with a focus on international issues. Each chapter makes a valuable contribution to current research and literature, and will be of significant importance to the practice of asset management. This book is a compilation of articles originally published in The European Journal of Finance.
Author: Russ, Meir
Publisher: IGI Global
ISBN: 1466696532
Category : Business & Economics
Languages : en
Pages : 356
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Book Description
In the ‘knowledge economy’, it is widely recognized that the effective engagement and utilization of human capital and the other facets of intellectual capital are critical, if not the only means, to organizations’ short-term success and long-term survival. Quantitative Multidisciplinary Approaches in Human Capital and Asset Management provides robust scientific research and multidisciplinary perspectives on the theory behind the governance of human capital and human assets. Focusing on insight from the diverse fields of economics, finance, accounting, IT, biology, and development, this timely publication is designed to fit the research needs of researchers, practitioners, graduate-level students, and executives seeking methods for managing intellectual capital in the new knowledge economy.
Author: Andrew Ang
Publisher: Oxford University Press
ISBN: 019938231X
Category : Business & Economics
Languages : en
Pages : 717
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Book Description
In Asset Management: A Systematic Approach to Factor Investing, Professor Andrew Ang presents a comprehensive, new approach to the age-old problem of where to put your money. Years of experience as a finance professor and a consultant have led him to see that what matters aren't asset class labels, but instead the bundles of overlapping risks they represent. Factor risks must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Clearly written yet full of the latest research and data, Asset Management is indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, to harvest them efficiently in their portfolios, and to embark on the search for true alpha.
Author: Chad Milewicz
Publisher:
ISBN:
Category : Consumer satisfaction
Languages : en
Pages : 102
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Book Description
The accountability of marketing investments continues to be a key area of concern for researchers and practitioners (MSI Research Priorities, 2008). In particular, market-based assets, specifically customer relationships, and their potential impact on firm performance are a significant source of interest. Though research in this area continues to grow, little is understood about how investments in human capital and the acquisition of alliance partners through factor markets relate to customer relationship management and the impact of customer relationships on performance. This dissertation presents two studies which, together, investigate how investments in market-based assets influence on abnormal stock returns. In the first study, the resource-based view of the firm (Barney 1991) is used to posit several hypotheses related to investments in human capital. The hypotheses are tested using ten years of data from the U.S. airline industry and analyzed using a mixed-effects methodology. Results indicate that investments in customer service personnel impact abnormal stock returns through their impact on customer relationships. Moreover, these investments tend to have decreasing returns in terms of their impact on customer relationships, and the relative strength of this relationship is shown to be contingent upon a firm's service delivery capabilities, advertising expenditures, and operating focus. This study helps clarify how market-based assets are managed, how investments in specific resources used to manage them relate to stock returns, and why the same dollar invested in human capital by different firms can lead to different levels of returns. The second study also takes a resource-based view of the firm and the management of market-based assets. From this perspective, alliances are considered as external resources acquired in strategic factor markets (Barney 1986) for the purpose of complimenting a focal firm's strategy and performance. This study investigates the long-term impact of alternative types of alliances and the potential impact of alliance partners' customer relationship management capabilities on a focal firms' performance. Just as in study one, ten years of U.S. airline data are used, and a mixed-effects methodology is implemented to test hypotheses. Results indicate that the direct benefits of horizontal marketing alliances tend to be positive, but dependent upon the extensiveness of the alliance. Furthermore, it is revealed that the impact of a partner's customer relationship management capabilities on a focal firm's performance is contingent upon whether the partner's capabilities are similar or dissimilar relative to the focal firm. In short, results indicate that when differences exist, the positive impact of a focal firm's customer relationship management capabilities can be reduced to almost zero if that firm allies with a less competent partner. Taken together, these studies tend to suggest that firms which learn to successfully manage investments in customer relationships may risk nullifying expected positive returns if they simultaneously select alliance partners which are less successful at managing such investments. Similarly, firms which are not able to improve their own management of customer relationships can potentially limit the potential negative consequences by allying with more able firms. In all, this dissertation helps address the accountability issue for marketers.
