On the relative pricing of long maturity index options and collateralized debt obligations
We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options…
Read MoreTesting conditional factor models
Using nonparametric techniques, we develop a methodology for estimating and testing conditional alphas and betas and long-run alphas and betas,…
Read MoreEndogenous dividend dynamics and the term structure of dividend strips
Many leading asset pricing models predict that the term structure of expected returns and volatilities on dividend strips are upward…
Read MoreRisk, returns, and optimal holdings of private equity
We survey the academic literature that examines the risks and returns of private equity investments, optimal private equity allocation, and…
Read MoreCognitive functioning over the life cycle
This paper by Eric Bonsang, Thomas Dohmen, Arnaud Dupuy and Andries de Grip (Maastricht University, ROA) reviews the psychological, medical,…
Read MoreRisicoattitude en beroepskeuze van schoolverlaters
Cognitive ageing and risk attitude
In this paper we investigate to what extent the decrease in the willingness to take risks with age can be…
Read MoreThe intergenerational transmission of risk and trust attitudes
Retirement and cognitive development: Are the retired really inactive?
This paper uses longitudinal test data to analyze the relation be-tween retirement and cognitive development. Controlling for individ-ual fixed effects…
Read MoreSatisfaction with daily activities after retirement in Europe
This paper analyses the determinants of satisfaction with daily activities among retirees aged 65 years or older in eleven European…
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