Institution
Stockholm School of Economics
Education•Stockholm, Sweden•
About: Stockholm School of Economics is a education organization based out in Stockholm, Sweden. It is known for research contribution in the topics: Population & Cost effectiveness. The organization has 1186 authors who have published 4891 publications receiving 285543 citations. The organization is also known as: Stockholm Business School & Handelshögskolan i Stockholm.
Papers published on a yearly basis
Papers
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TL;DR: In this article, the authors investigated the efficiency of household investment decisions in a unique dataset containing the disaggregated wealth and income of the entire population of Sweden and found that while a few households are very poorly diversified, the cost of diversification mistakes is quite modest for most of the population.
Abstract: This paper investigates the efficiency of household investment decisions in a unique dataset containing the disaggregated wealth and income of the entire population of Sweden. The analysis focuses on two main sources of inefficiency in the financial portfolio: underdiversification of risky assets ("down") and nonparticipation in risky asset markets ("out"). We find that while a few households are very poorly diversified, the cost of diversification mistakes is quite modest for most of the population. For instance, a majority of participating Swedish households are sufficiently diversified internationally to outperform the Sharpe ratio of their domestic stock market. We document that households with greater financial sophistication tend to invest more efficiently but also more aggressively, so the welfare cost of portfolio inefficiency tends to be greater for these households. The welfare cost of nonparticipation is smaller by almost one half when we take account of the fact that nonparticipants would be unlikely to invest efficiently if they participated in risky asset markets.
124 citations
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TL;DR: The results suggest that individual and social TTO values differ systematically and that the difference is greater the more severe the health status is.
123 citations
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TL;DR: The data quality of these two studies on risk perception models is doubtful, and the analyses show the same low levels of explained variance of risk perception as other researchers have found previously, but the authors still draw optimistic conclusions from their data.
Abstract: Two recent papers on risk perception models are discussed. In these papers, quantitative analyses are presented of risk perception in relation to risk characteristics as specified in the Psychometric Model, and to cultural biases according to Cultural Theory. This comment points out that the data quality of these two studies is doubtful, with a very small convenience sample and a very low response rate. More importantly, the analyses show the same low levels of explained variance of risk perception as other researchers have found previously, but the authors still draw optimistic conclusions from their data. Such conclusions are unjustified.
123 citations
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TL;DR: In this paper, the authors show that target leverage ratios evolve counter-cyclically once cyclicality is measured comprehensively, accounting for variation in explanatory variables and model parameters, which is robust to different subsamples of firms, data samples, empirical models of leverage, and definitions of leverage.
Abstract: Surprisingly little is known about the business cycle dynamics of leverage. The existing evidence documents that target leverage evolves pro-cyclically either for all firms or financially constrained ones. In contrast, we show that, on average, target leverage ratios evolve counter-cyclically once cyclicality is measured comprehensively, accounting for variation in explanatory variables and model parameters. These counter-cyclical dynamics are robust to different subsamples of firms, data samples, empirical models of leverage, and definitions of leverage. There is a fraction of 10 to 25% of firms with pro-cyclical dynamics whose characteristics are consistent with counter-cyclical dynamics for loss-given-default and probability of default.
123 citations
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Abstract: This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital, which we estimate directly from individual labor income, also affects risk-taking positively, while internal habit and expenditure commitments tend to reduce it. Our microfindings lend strong support to decreasing relative risk aversion and habit formation preferences. Furthermore, heterogeneous risk sensitivities across investors help reconcile individual preferences with representative-agent models.
123 citations
Authors
Showing all 1218 results
Name | H-index | Papers | Citations |
---|---|---|---|
Magnus Johannesson | 102 | 342 | 40776 |
Thomas J. Sargent | 96 | 370 | 39224 |
Bengt Jönsson | 81 | 365 | 33623 |
J. Scott Armstrong | 76 | 445 | 33552 |
Johan Wiklund | 74 | 288 | 30038 |
Per Davidsson | 71 | 309 | 32262 |
Julian Birkinshaw | 64 | 233 | 29262 |
Timo Teräsvirta | 62 | 224 | 20403 |
Lars E.O. Svensson | 61 | 188 | 20666 |
Jonathan D. Ostry | 59 | 232 | 11776 |
Alexander Ljungqvist | 59 | 139 | 14466 |
Richard Green | 58 | 468 | 14244 |
Bo Jönsson | 57 | 294 | 11984 |
Magnus Henrekson | 56 | 261 | 13346 |
Assar Lindbeck | 54 | 234 | 13761 |