Stephen R. Foerster, Juhani T. Linnainmaa, Brian T. Melzer, Alessandro Previtero
Using unique data on Canadian households, we assess the impact of financial advisors on their clients' portfolios. We find that advisors induce their clients to take more risk, thereby raising expected returns. On the other hand, we find limited evidence of customization: advisors direct clients into similar portfolios independent of their clients' risk preferences and stage in the life cycle. An advisor's own portfolio is a good predictor of the client's portfolio even after controlling for the client's characteristics. This one-size-fits-all advice does not come cheap. The average client pays more than 2.7% each year in fees and thus gives up all of the equity premium gained through increased risk-taking.
{"title":"Retail Financial Advice: Does One Size Fit All?","authors":"Stephen R. Foerster, Juhani T. Linnainmaa, Brian T. Melzer, Alessandro Previtero","doi":"10.2139/ssrn.2522934","DOIUrl":"https://doi.org/10.2139/ssrn.2522934","url":null,"abstract":"Using unique data on Canadian households, we assess the impact of financial advisors on their clients' portfolios. We find that advisors induce their clients to take more risk, thereby raising expected returns. On the other hand, we find limited evidence of customization: advisors direct clients into similar portfolios independent of their clients' risk preferences and stage in the life cycle. An advisor's own portfolio is a good predictor of the client's portfolio even after controlling for the client's characteristics. This one-size-fits-all advice does not come cheap. The average client pays more than 2.7% each year in fees and thus gives up all of the equity premium gained through increased risk-taking.","PeriodicalId":114245,"journal":{"name":"Chicago Booth: Fama-Miller Working Paper Series","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126064390","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}
We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model fits well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross-section of excess returns.
{"title":"Asset Pricing with Countercyclical Household Consumption Risk","authors":"G. Constantinides, Anish Ghosh","doi":"10.2139/ssrn.2395522","DOIUrl":"https://doi.org/10.2139/ssrn.2395522","url":null,"abstract":"We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model fits well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross-section of excess returns.","PeriodicalId":114245,"journal":{"name":"Chicago Booth: Fama-Miller Working Paper Series","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127209861","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}
To what extent does TF, the target Federal funds rate set by the Fed, influence other rates? There is lots of variation in rates unrelated to TF, and any effects of TF on rates dissipate quickly for longer maturities. For short rates, all the tests have interpretations in terms of: (i) a Fed that has the power to control rates and uses it, and (ii) a Fed that has little power over rates or chooses not to exercise its power. In the end, there is no conclusive evidence (here or elsewhere) on the role of the Fed versus market forces in the long-term path of interest rates.
{"title":"Does the Fed Control Interest Rates?","authors":"E. Fama","doi":"10.2139/SSRN.2124039","DOIUrl":"https://doi.org/10.2139/SSRN.2124039","url":null,"abstract":"To what extent does TF, the target Federal funds rate set by the Fed, influence other rates? There is lots of variation in rates unrelated to TF, and any effects of TF on rates dissipate quickly for longer maturities. For short rates, all the tests have interpretations in terms of: (i) a Fed that has the power to control rates and uses it, and (ii) a Fed that has little power over rates or chooses not to exercise its power. In the end, there is no conclusive evidence (here or elsewhere) on the role of the Fed versus market forces in the long-term path of interest rates.","PeriodicalId":114245,"journal":{"name":"Chicago Booth: Fama-Miller Working Paper Series","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130150568","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}
We question the impact of government guarantees on the pricing of default risk in credit and stock markets and, using a Merton-type credit model, provide evidence of a structural break in the valuation of U.S. bank debt in the course of the 2007-2009 financial crisis, manifesting in a lowered default boundary, or, under the pre-crisis regime, in higher stock-implied credit spreads. A possible explanation is the asymmetric treatment of debt and equity in rescue measures, which tend to favor creditors. The discrepancies are driven by several factors including firm size, default correlation, and high ratings, thus corroborating our too-big-to-fail hypothesis.
{"title":"The Impact of Government Interventions on CDS and Equity Markets","authors":"Frederic A. Schweikhard, Zoe Tsesmelidakis","doi":"10.2139/ssrn.1573377","DOIUrl":"https://doi.org/10.2139/ssrn.1573377","url":null,"abstract":"We question the impact of government guarantees on the pricing of default risk in credit and stock markets and, using a Merton-type credit model, provide evidence of a structural break in the valuation of U.S. bank debt in the course of the 2007-2009 financial crisis, manifesting in a lowered default boundary, or, under the pre-crisis regime, in higher stock-implied credit spreads. A possible explanation is the asymmetric treatment of debt and equity in rescue measures, which tend to favor creditors. The discrepancies are driven by several factors including firm size, default correlation, and high ratings, thus corroborating our too-big-to-fail hypothesis.","PeriodicalId":114245,"journal":{"name":"Chicago Booth: Fama-Miller Working Paper Series","volume":"73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130840233","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}
We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets. A large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial crisis. The difference in costs of out-of-the-money put options for individual banks, and puts on the financial sector index, increases fourfold from its pre-crisis 2003-2007 level. We provide evidence that a collective government guarantee for the financial sector, which lowers index put prices far more than those of individual banks, explains the divergence in the basket-index put spread.
{"title":"Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees","authors":"B. Kelly, Hanno Lustig, Stijn Van Nieuwerburgh","doi":"10.2139/ssrn.1762312","DOIUrl":"https://doi.org/10.2139/ssrn.1762312","url":null,"abstract":"We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets. A large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial crisis. The difference in costs of out-of-the-money put options for individual banks, and puts on the financial sector index, increases fourfold from its pre-crisis 2003-2007 level. We provide evidence that a collective government guarantee for the financial sector, which lowers index put prices far more than those of individual banks, explains the divergence in the basket-index put spread.","PeriodicalId":114245,"journal":{"name":"Chicago Booth: Fama-Miller Working Paper Series","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123715770","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}
When agents can learn about their abilities as active investors, they rationally "trade to learn" even if they expect to lose from active investing. The model used to develop this insight draws conclusions that are consistent with empirical study of household trading behavior: Households' portfolios underperform passive investments; their trading intensity depends on past performance; and they begin by trading small sums of money. Using household data from Finland, the paper estimates a structural model of learning and trading. The estimated model shows that investors trade to learn even if they are pessimistic about their abilities as traders. It also demonstrates that realized returns are significantly downward-biased measures of investors' true abilities.
{"title":"Why Do (Some) Households Trade So Much?","authors":"Juhani T. Linnainmaa","doi":"10.1093/rfs/hhr009","DOIUrl":"https://doi.org/10.1093/rfs/hhr009","url":null,"abstract":"When agents can learn about their abilities as active investors, they rationally \"trade to learn\" even if they expect to lose from active investing. The model used to develop this insight draws conclusions that are consistent with empirical study of household trading behavior: Households' portfolios underperform passive investments; their trading intensity depends on past performance; and they begin by trading small sums of money. Using household data from Finland, the paper estimates a structural model of learning and trading. The estimated model shows that investors trade to learn even if they are pessimistic about their abilities as traders. It also demonstrates that realized returns are significantly downward-biased measures of investors' true abilities.","PeriodicalId":114245,"journal":{"name":"Chicago Booth: Fama-Miller Working Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125742644","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}
The main objective of this paper is to quantify the effect of expectation changes about discount rate and dividend growth rate over the Chilean market portfolio returns. The model applied was taken from the works of Campbell and Shiller (1988, 1988a), Campbell (1991) and Campbell and Vuolteenaho (2005). The model expresses the unexpected returns as a function of two components related with: (i). news about future dividends growth and (ii). news about future returns of the market portfolio. The results obtained for the period of 1995-2005 show that the component of news about future dividends explains most of the unexpected portfolio returns variance, contrary to Campbell and Vuolteenaho (2005) find in the US data. Indeed, the differences are explained by the lower persistence observed in the variables utilized in estimates; thus, the long term return forecasting is less acute, which augments the estimation errors and finally, the news about dividends growth importance. Considering some feature of the Chilean stock market such as legal, tax, ownership concentration and information quality, news about future returns should not be as important as in the US stock market. The model also allows to divide, the traditional beta of the Capital Asset Pricing Model (CAPM) in two components, i.e.: (i). a component related with the future cash flows and (ii). a component which reflect the relationship between the stock returns with the discount rates of the market portfolio. The results show that the high return observed in the small-value stocks, it due to their beta is predominated for the cash flow risk component. Thus, the adjustment obtained when beta is separating in these components improves relatively with those resulted from the traditional method. Unlike US, in Chile have not been developed a formal methodology that quantifies the incidence of changes in expectations of discount rates and dividends over stock prices. Additionally, this work is the first in applying an approach of decomposition of the systematic risk in Chilean data.
本文的主要目的是量化折现率和股息增长率的预期变化对智利市场投资组合回报的影响。所采用的模型取自Campbell and Shiller (1988,1988a)、Campbell(1991)和Campbell and Vuolteenaho(2005)的著作。该模型将意外收益表示为两个组成部分的函数，这两个组成部分与:(i)有关未来股息增长的消息和(ii)有关市场投资组合未来收益的消息有关。1995-2005年期间获得的结果表明，有关未来股息的新闻成分解释了大部分意外投资组合回报方差，这与Campbell和Vuolteenaho(2005)在美国数据中的发现相反。事实上，这些差异可以解释为，在估计中使用的变量中观察到的持久性较低;因此，长期回报预测不那么敏锐，这增加了估计误差，最后，关于股息增长重要性的消息。考虑到智利股市的一些特点，如法律、税收、股权集中度和信息质量，有关未来回报的消息不应像美国股市那样重要。该模型还允许将资本资产定价模型(CAPM)的传统贝塔分为两个部分，即:(i)与未来现金流量相关的部分和(ii)反映股票收益与市场投资组合贴现率之间关系的部分。结果表明，在现金流风险成分中，由于小价值股票的贝塔系数占主导地位，小价值股票的收益较高。因此，在这些组分中分离β时得到的平差比传统方法得到的平差有了相对的提高。与美国不同的是，智利尚未开发出一种正式的方法来量化贴现率和股息预期变化对股价的影响。此外，这项工作是首次在智利数据中应用系统风险分解方法。
{"title":"Chilean Stock Market Expected Return Analysis: A Variance Decomposition","authors":"Ercos Valdivieso","doi":"10.2139/ssrn.1681822","DOIUrl":"https://doi.org/10.2139/ssrn.1681822","url":null,"abstract":"The main objective of this paper is to quantify the effect of expectation changes about discount rate and dividend growth rate over the Chilean market portfolio returns. The model applied was taken from the works of Campbell and Shiller (1988, 1988a), Campbell (1991) and Campbell and Vuolteenaho (2005). The model expresses the unexpected returns as a function of two components related with: (i). news about future dividends growth and (ii). news about future returns of the market portfolio. The results obtained for the period of 1995-2005 show that the component of news about future dividends explains most of the unexpected portfolio returns variance, contrary to Campbell and Vuolteenaho (2005) find in the US data. Indeed, the differences are explained by the lower persistence observed in the variables utilized in estimates; thus, the long term return forecasting is less acute, which augments the estimation errors and finally, the news about dividends growth importance. Considering some feature of the Chilean stock market such as legal, tax, ownership concentration and information quality, news about future returns should not be as important as in the US stock market. The model also allows to divide, the traditional beta of the Capital Asset Pricing Model (CAPM) in two components, i.e.: (i). a component related with the future cash flows and (ii). a component which reflect the relationship between the stock returns with the discount rates of the market portfolio. The results show that the high return observed in the small-value stocks, it due to their beta is predominated for the cash flow risk component. Thus, the adjustment obtained when beta is separating in these components improves relatively with those resulted from the traditional method. Unlike US, in Chile have not been developed a formal methodology that quantifies the incidence of changes in expectations of discount rates and dividends over stock prices. Additionally, this work is the first in applying an approach of decomposition of the systematic risk in Chilean data.","PeriodicalId":114245,"journal":{"name":"Chicago Booth: Fama-Miller Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125894052","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}
A. Achleitner, R. Braun, Bastian Hinterramskogler, Florian Tappeiner
We use a proprietary dataset to explore (i) the financial covenant structure and (ii) the determinants of their restrictiveness in leveraged buyouts. With respect to (i) we find that the covenant structure is more standardized in sponsored than in non-sponsored loans: the former show less variation in the included types and combinations of covenants and include more financial covenants than the latter. With respect to (ii) we measure financial covenant restrictiveness precisely as the distance between threshold and financial forecast. We show that two competing mechanisms, reduced information asymmetry costs and increased financial risk, affect the restrictiveness in sponsored loans.
{"title":"Structure and Determinants of Financial Covenants in Leveraged Buyouts","authors":"A. Achleitner, R. Braun, Bastian Hinterramskogler, Florian Tappeiner","doi":"10.1093/ROF/RFQ031","DOIUrl":"https://doi.org/10.1093/ROF/RFQ031","url":null,"abstract":"We use a proprietary dataset to explore (i) the financial covenant structure and (ii) the determinants of their restrictiveness in leveraged buyouts. With respect to (i) we find that the covenant structure is more standardized in sponsored than in non-sponsored loans: the former show less variation in the included types and combinations of covenants and include more financial covenants than the latter. With respect to (ii) we measure financial covenant restrictiveness precisely as the distance between threshold and financial forecast. We show that two competing mechanisms, reduced information asymmetry costs and increased financial risk, affect the restrictiveness in sponsored loans.","PeriodicalId":114245,"journal":{"name":"Chicago Booth: Fama-Miller Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115619198","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}
Knowledge of stock price behavior is very important for investor. This price is influenced by a number of factors in the financial market. Four of the most important factors that affect the stock price are; inflation, GDP, unemployment, and money supply. This paper shows the different effects of; inflation, GDP, unemployment, and money supply on stock price of industrial sector. To examine the different sensitivity of stocks according to what sector it belongs to. The study is done on New York exchange. Chose indefinite companies, from the sector we mentioned, and take CPI as an example of inflation, because it is the closet to the investor decision. We get our data (the rate of CPI and the GDP –M1 & money supply) from Federal Reserve web site; during the period 1994-2007 .The findings show according to our samples that, the four independent variables have different effects on this sector. The strongest variable effect among our collection was money supply; it has a strong positive influence at most companies in our sample. The second variable was CPI as for inflation, and unemployment, both have a weak influence on most companies.
{"title":"The Impact of Inflation, GDP, Unemployment, and Money Supply On Stock Prices","authors":"Lena Saeed Shiblee","doi":"10.2139/ssrn.1529254","DOIUrl":"https://doi.org/10.2139/ssrn.1529254","url":null,"abstract":"Knowledge of stock price behavior is very important for investor. This price is influenced by a number of factors in the financial market. Four of the most important factors that affect the stock price are; inflation, GDP, unemployment, and money supply. This paper shows the different effects of; inflation, GDP, unemployment, and money supply on stock price of industrial sector. To examine the different sensitivity of stocks according to what sector it belongs to. The study is done on New York exchange. Chose indefinite companies, from the sector we mentioned, and take CPI as an example of inflation, because it is the closet to the investor decision. We get our data (the rate of CPI and the GDP –M1 & money supply) from Federal Reserve web site; during the period 1994-2007 .The findings show according to our samples that, the four independent variables have different effects on this sector. The strongest variable effect among our collection was money supply; it has a strong positive influence at most companies in our sample. The second variable was CPI as for inflation, and unemployment, both have a weak influence on most companies.","PeriodicalId":114245,"journal":{"name":"Chicago Booth: Fama-Miller Working Paper Series","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115205489","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}
This monograph sets the stage for experiments by first examining a sample data set that looks very much like the typical historical data one gathers from the field, only it was actually generated in the laboratory so that we know what really went on. The example demonstrates how misleading the traditional analysis can be. It then moves on to discuss risk aversion, since asset pricing theory builds on risk aversion. The issue is — is there enough risk aversion in the laboratory given typical levels of compensation? Asset pricing theory also builds on competitive markets and competitive equilibrium, but these are actually purely abstract notions, without any suggestion of how to generate them in practice. The article builds on the path-breaking experimental work of Vernon Smith and Charles Plott who demonstrated that certain trading institutions indeed allow us to bring about competitive markets and competitive equilibrium. The author presents the main findings — first concerning simple static asset pricing models, moving on to dynamic pricing theory, and the implications of ambiguity aversion. Asset pricing theory rarely discusses how markets reach equilibrium, but experiments shed new light on price behavior during equilibration, as well as on off-equilibrium allocation dynamics. This monograph also examines information aggregation and competitive markets for loan and insurance contracts, where adverse selection may preclude equilibration, and even when not, the resulting allocations may be Pareto sub-optimal.
{"title":"The Experimental Study of Asset Pricing Theory","authors":"P. Bossaerts","doi":"10.1561/0500000022","DOIUrl":"https://doi.org/10.1561/0500000022","url":null,"abstract":"This monograph sets the stage for experiments by first examining a sample data set that looks very much like the typical historical data one gathers from the field, only it was actually generated in the laboratory so that we know what really went on. The example demonstrates how misleading the traditional analysis can be. It then moves on to discuss risk aversion, since asset pricing theory builds on risk aversion. The issue is — is there enough risk aversion in the laboratory given typical levels of compensation? Asset pricing theory also builds on competitive markets and competitive equilibrium, but these are actually purely abstract notions, without any suggestion of how to generate them in practice. The article builds on the path-breaking experimental work of Vernon Smith and Charles Plott who demonstrated that certain trading institutions indeed allow us to bring about competitive markets and competitive equilibrium. The author presents the main findings — first concerning simple static asset pricing models, moving on to dynamic pricing theory, and the implications of ambiguity aversion. Asset pricing theory rarely discusses how markets reach equilibrium, but experiments shed new light on price behavior during equilibration, as well as on off-equilibrium allocation dynamics. This monograph also examines information aggregation and competitive markets for loan and insurance contracts, where adverse selection may preclude equilibration, and even when not, the resulting allocations may be Pareto sub-optimal.","PeriodicalId":114245,"journal":{"name":"Chicago Booth: Fama-Miller Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129136816","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}
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