Browsing BI Open by Author "Ehling, Paul"

Asset Prices and Portfolio Choice With Learning from Experience

Ehling, Paul; Graniero, Alessandro; Heyerdahl-Larsen, Christian (Journal article; Peer reviewed, 2018)

We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in ...

Complete and incomplete financial markets in multi-good economies

Ehling, Paul; Heyerdahl-Larsen, Christian (Journal article; Peer reviewed, 2015)

We investigate conditions for endogenous incompleteness and completeness in continuoustime nancial markets driven by di usion processes with multiple consumption goods and heterogeneous agents. We show that for a class ...

Correlations

Ehling, Paul; Heyerdahl-Larsen, Christian (Journal article; Peer reviewed, 2017)

Correlations of equity returns have varied substantially over time and remain a source of continuing policy debate. This paper studies stock market correlations in an equilibrium model with heterogeneous risk aversion. In ...

Portfolio Tax Trading with Carryover Losses

Ehling, Paul; Gallmeyer, Michael; Srivastava, Sanjay; Tompaidis, Stathis; Yang, Chunyu (Journal article; Peer reviewed, 2018)

We study portfolio choice with multiple stocks and capital gain taxation assuming that capital losses can only offset current or future realized capital gains. We show, through backtesting using empirical distributions, ...

Risk Aversion Sensitive Real Business Cycles

Zhanhui, Chen; Cooper, Ilan; Ehling, Paul; Xiouros, Costas (Journal article; Peer reviewed, 2020)

Technology choice allows for substitution of production across states of nature and depends on state-dependent risk aversion. In equilibrium, endogenous technology choice can counter a persistent negative productivity shock ...

Risk management with cash and insurance in non-listed firms

Ehling, Paul (CCGR Working Paper, Working paper, 2008)

I study corporate risk management with property insurance in non-listed small and medium sized rms. I document negative relations between various ownership measures CEO salary, ownership concentration and aggregate female ...

When Does Cash Matter?

Ehling, Paul; Haushalter, David (CCGR Working Paper;6/2011, Working paper, 2011)

We examine the association between a firm’s cash holdings and its performance. Using a large sample of private companies, we find that the importance of cash for a firm’s performance varies substantially with its size ...