The Experts below are selected from a list of 20205 Experts worldwide ranked by ideXlab platform
Luis M Viceira - One of the best experts on this subject based on the ideXlab platform.
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Strategic Asset allocation in a continuous time var model
Journal of Economic Dynamics and Control, 2004Co-Authors: John Y Campbell, George Chacko, Jorge Rodriguez, Luis M ViceiraAbstract:Abstract This paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (Q. J. Econ. 114 (1999) 433) in which the expected excess return on a risky Asset follows an AR(1) process, while the riskless interest rate is constant. The paper also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is the limit of that of Campbell and Viceira and has the property that conservative long-term investors have a large positive intertemporal hedging demand for stocks.
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Strategic Asset allocation in a continuous time var model
Journal of Economic Dynamics and Control, 2004Co-Authors: John Y Campbell, George Chacko, Jorge Rodriguez, Luis M ViceiraAbstract:This Paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (1999), in which the expected excess return on a risky Asset follows an AR(1) process, while the riskless interest rate is constant. The Paper also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is the limit of that of Campbell and Viceira and has the property that conservative long-term investors have a large positive intertemporal hedging demand for stocks.
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a multivariate model of Strategic Asset allocation
Journal of Financial Economics, 2003Co-Authors: Yeung Lewis Chan, John Y Campbell, Luis M ViceiraAbstract:Much recent work has documented evidence for the predictability of Asset returns. We show how such predictability can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption their wealth can support. We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely-lived investor with Epstein-Zin utility who faces a set of Asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and postwar quarterly US data suggest that the predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios depends on the importance of real interest rate risk relative to other sources of risk. We extend the analysis to consider long-term inflation-indexed bonds and find that these bonds greatly increase the utility of conservative investors, who should hold large positions when they are available.
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a multivariate model of Strategic Asset allocation
Journal of Financial Economics, 2003Co-Authors: Yeung Lewis Chan, John Y Campbell, Luis M ViceiraAbstract:Abstract We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein–Zin utility who faces a set of Asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and post-war quarterly U.S. data suggest that the predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios depends on the importance of real interest rate risk relative to other sources of risk. Long-term inflation-indexed bonds greatly increase the utility of conservative investors.
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Strategic Asset allocation portfolio choice for long term investors
NBER Reporter Online, 2002Co-Authors: John Y Campbell, Luis M ViceiraAbstract:1. Introduction 2. Myopic Portfolio Choice 3. Who Should Buy Long-Term Bonds? 4. Is the Stock Market Safer for Long-Term Investors? 5. Strategic Asset Allocation in Continuous Time 6. Human Wealth and Financial Wealth 7. Investing over the Life Cycle
John Y Campbell - One of the best experts on this subject based on the ideXlab platform.
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Strategic Asset allocation in a continuous time var model
Journal of Economic Dynamics and Control, 2004Co-Authors: John Y Campbell, George Chacko, Jorge Rodriguez, Luis M ViceiraAbstract:Abstract This paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (Q. J. Econ. 114 (1999) 433) in which the expected excess return on a risky Asset follows an AR(1) process, while the riskless interest rate is constant. The paper also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is the limit of that of Campbell and Viceira and has the property that conservative long-term investors have a large positive intertemporal hedging demand for stocks.
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Strategic Asset allocation in a continuous time var model
Journal of Economic Dynamics and Control, 2004Co-Authors: John Y Campbell, George Chacko, Jorge Rodriguez, Luis M ViceiraAbstract:This Paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (1999), in which the expected excess return on a risky Asset follows an AR(1) process, while the riskless interest rate is constant. The Paper also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is the limit of that of Campbell and Viceira and has the property that conservative long-term investors have a large positive intertemporal hedging demand for stocks.
-
a multivariate model of Strategic Asset allocation
Journal of Financial Economics, 2003Co-Authors: Yeung Lewis Chan, John Y Campbell, Luis M ViceiraAbstract:Much recent work has documented evidence for the predictability of Asset returns. We show how such predictability can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption their wealth can support. We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely-lived investor with Epstein-Zin utility who faces a set of Asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and postwar quarterly US data suggest that the predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios depends on the importance of real interest rate risk relative to other sources of risk. We extend the analysis to consider long-term inflation-indexed bonds and find that these bonds greatly increase the utility of conservative investors, who should hold large positions when they are available.
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a multivariate model of Strategic Asset allocation
Journal of Financial Economics, 2003Co-Authors: Yeung Lewis Chan, John Y Campbell, Luis M ViceiraAbstract:Abstract We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein–Zin utility who faces a set of Asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and post-war quarterly U.S. data suggest that the predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios depends on the importance of real interest rate risk relative to other sources of risk. Long-term inflation-indexed bonds greatly increase the utility of conservative investors.
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Strategic Asset allocation portfolio choice for long term investors
NBER Reporter Online, 2002Co-Authors: John Y Campbell, Luis M ViceiraAbstract:1. Introduction 2. Myopic Portfolio Choice 3. Who Should Buy Long-Term Bonds? 4. Is the Stock Market Safer for Long-Term Investors? 5. Strategic Asset Allocation in Continuous Time 6. Human Wealth and Financial Wealth 7. Investing over the Life Cycle
Dylan Sutherland - One of the best experts on this subject based on the ideXlab platform.
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a comparative analysis of location and non location bounded Strategic Asset seeking in emerging and developed market mnes an application of new internalization theory
International Business Review, 2020Co-Authors: Dylan Sutherland, John Anderson, Zheyuan HuAbstract:Abstract Do emerging market (E)MNEs have a stronger Strategic Asset seeking FDI orientation than developed market (D)MNEs? If so, what are the properties of the Strategic Assets they actually seek and are they similar or dissimilar to those of DMNEs? Drawing from new internalization theory, we show that lying concealed within some mainstream EMNE models are important predictions regarding differences in the location-boundedness properties of the Strategic Assets sought by EMNEs compared with DMNEs. Using multinomial logit modelling on 2414 international M&A deals, we explore how acquirer characteristics shape location-bounded (trademark) and non-location bounded (patent) Strategic Asset seeking choices. In general, we find evidence that EMNEs have a comparatively stronger patent but weaker trademark seeking orientation than DMNEs. We discuss implications for EMNE related theory, focusing on the qualitative differences in Asset seeking orientation between EMNEs and DMNEs.
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is the Strategic Asset seeking investment proclivity of chinese mnes different to that of developed market mnes a comparative analysis of location choice and orientation
Management International Review, 2018Co-Authors: Dylan Sutherland, John Anderson, Peter HertensteinAbstract:Do emerging market MNEs acquire Strategic Assets in psychically distant developed markets to augment the firm-specific advantages they lack? This question is central to current conceptual discussion of their FDI strategies. To date, however, empirical testing has focused on emerging market MNE FDI location choices in isolation to indirectly infer facts about Strategic Asset seeking orientation. There are two weaknesses with this approach. First, comparative analysis with developed market MNEs is limited. Second, the focus on geographical location choices does not account for important direct, firm-level evidence on the Strategic Assets found in foreign subsidiaries. To address these gaps, we first undertake a comparative location choice study of Chinese MNE and developed market MNE FDI in the US. Second, we test corresponding firm-level US subsidiary data using logit modelling to explore whether there are differences between Chinese and developed market MNEs. Our results indicate similarities, rather than differences, in the Strategic Asset seeking behavior of Chinese and developed market MNEs. This calls into question whether theoretical extension is necessary to explain the behavior of emerging market MNEs as well as the value of indirect, location choice approaches to the analysis of Strategic Asset seeking FDI.
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An event study of home and host country patent generation in Chinese MNEs undertaking Strategic Asset acquisitions in developed markets
International Business Review, 2015Co-Authors: John Anderson, Dylan Sutherland, Sean SevereAbstract:We use event study methodologies to analyze trends in home and host country patent applications of Chinese MNEs that acquire Strategic Asset-rich developed market businesses. Our results show the domestic market patents of Chinese MNEs rise significantly in the wake of such acquisitions, while those of the acquired target do not significantly change. These results hold for different ownership classes. In light of current theoretical debates, we discuss the possible motivations for such acquisitions by Chinese MNEs and the reasons for the observed patenting performance in both domestic and target businesses. We argue acquisition of codified Strategic Assets (such as patents) for the purpose of imitation and exploitation in the domestic Chinese market context provides one plausible explanation for our results.
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an event study of em mne Strategic Asset acquisitons the case of patent generation in chinese acquisitions in developed markets
2013Co-Authors: Andy Anderson, Dylan SutherlandAbstract:Purpose : To further explore the relevance of the newer conceptual models of EM MNEs, such as those based around ‘Strategic Asset seeking’ FDI and Asset aug mentation strategies. Design/methodology/approach : We tailor event study methodologies, often used in finance, to analyze trends in the pre and post-acquisition patent applications of Chinese MNEs that acquire Strategic-Asset rich developed market businesses in Japa n, the US and Europe. We consider both domestic (Chinese) and target (host) country patent appli cations to explore whether Chinese MNEs are capable of absorbing Strategic-Asset s for the purpose of developing their own long-term innovative capability or, rather, whether they use such acquisitions primarily for domestic market exploitation. In doing so we cast further light on the question of whether such EM MNEs use OFDI to develop firm-specific-advantages or not, and thus whether new theories are also required. Findings : The extent to which Chinese firms are able to absorb and productive ly harness the intangible Strategic Assets of their developed market acquisiti ons is still not clear. While we find no significant results for target country patent applications, dom estic (Chinese market) patents do rise significantly. This strongly suggests technological transfer from acquired to domestic subsidiaries and a form of ‘technological looting’, as oppose d to long-term capacity building, in Chinese MNEs when they acquire developed market businesses. This finding is also consistent with Hennart’s (2012) ‘bundling model’, which directly c hallenges a basic tenet of the OLI paradigm, that ‘locational’ advantages are available to all. Research limitation/implications: Our sample, owing to data constraints on patents, is limited to 71 observations. Our findings are consistent with Hennart’s (2012) bundling model but also call into question the ability of firms to acquire and harne ss research and development capabilities, vital for longer term competitive advantage. Practical implications : Such Asset-seeking FDI will likely sharpen the competitive edge of EM MNEs in the shorter term, but in the longer they will need to take further measures to improve their absorptive capabilities.
John Anderson - One of the best experts on this subject based on the ideXlab platform.
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a comparative analysis of location and non location bounded Strategic Asset seeking in emerging and developed market mnes an application of new internalization theory
International Business Review, 2020Co-Authors: Dylan Sutherland, John Anderson, Zheyuan HuAbstract:Abstract Do emerging market (E)MNEs have a stronger Strategic Asset seeking FDI orientation than developed market (D)MNEs? If so, what are the properties of the Strategic Assets they actually seek and are they similar or dissimilar to those of DMNEs? Drawing from new internalization theory, we show that lying concealed within some mainstream EMNE models are important predictions regarding differences in the location-boundedness properties of the Strategic Assets sought by EMNEs compared with DMNEs. Using multinomial logit modelling on 2414 international M&A deals, we explore how acquirer characteristics shape location-bounded (trademark) and non-location bounded (patent) Strategic Asset seeking choices. In general, we find evidence that EMNEs have a comparatively stronger patent but weaker trademark seeking orientation than DMNEs. We discuss implications for EMNE related theory, focusing on the qualitative differences in Asset seeking orientation between EMNEs and DMNEs.
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is the Strategic Asset seeking investment proclivity of chinese mnes different to that of developed market mnes a comparative analysis of location choice and orientation
Management International Review, 2018Co-Authors: Dylan Sutherland, John Anderson, Peter HertensteinAbstract:Do emerging market MNEs acquire Strategic Assets in psychically distant developed markets to augment the firm-specific advantages they lack? This question is central to current conceptual discussion of their FDI strategies. To date, however, empirical testing has focused on emerging market MNE FDI location choices in isolation to indirectly infer facts about Strategic Asset seeking orientation. There are two weaknesses with this approach. First, comparative analysis with developed market MNEs is limited. Second, the focus on geographical location choices does not account for important direct, firm-level evidence on the Strategic Assets found in foreign subsidiaries. To address these gaps, we first undertake a comparative location choice study of Chinese MNE and developed market MNE FDI in the US. Second, we test corresponding firm-level US subsidiary data using logit modelling to explore whether there are differences between Chinese and developed market MNEs. Our results indicate similarities, rather than differences, in the Strategic Asset seeking behavior of Chinese and developed market MNEs. This calls into question whether theoretical extension is necessary to explain the behavior of emerging market MNEs as well as the value of indirect, location choice approaches to the analysis of Strategic Asset seeking FDI.
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An event study of home and host country patent generation in Chinese MNEs undertaking Strategic Asset acquisitions in developed markets
International Business Review, 2015Co-Authors: John Anderson, Dylan Sutherland, Sean SevereAbstract:We use event study methodologies to analyze trends in home and host country patent applications of Chinese MNEs that acquire Strategic Asset-rich developed market businesses. Our results show the domestic market patents of Chinese MNEs rise significantly in the wake of such acquisitions, while those of the acquired target do not significantly change. These results hold for different ownership classes. In light of current theoretical debates, we discuss the possible motivations for such acquisitions by Chinese MNEs and the reasons for the observed patenting performance in both domestic and target businesses. We argue acquisition of codified Strategic Assets (such as patents) for the purpose of imitation and exploitation in the domestic Chinese market context provides one plausible explanation for our results.
Xiaohui Liu - One of the best experts on this subject based on the ideXlab platform.
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where to seek Strategic Assets for competitive catch up a configurational study of emerging multinational enterprises expanding into foreign Strategic factor markets
Organization Studies, 2017Co-Authors: Lin Cui, Di Fan, Xiaohui LiuAbstract:Emerging multinational enterprises (EMNEs) often engage in Strategic-Asset-seeking foreign direct investment (FDI) for competitive catch-up. This study explores the linkages between an EMNE’s competitive scenario consisting of a configuration of its awareness-motivation-capability (AMC) conditions and the comparative institutional advantages of its Strategic-Asset-seeking destination. Our configurational analyses of Chinese FDIs in the technology-intensive industries of OECD countries reveal a taxonomy of four distinct Asset-seeking strategies of EMNEs. Our findings shed novel insights into the Strategic variations within EMNEs based on a theoretically and methodologically extended AMC framework. This study also extends the varieties of capitalism literature by addressing the implications of comparative institutional advantages for foreign entrants, rather than domestic incumbent firms.
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motives for outward fdi of chinese private firms firm resources industry dynamics and government policies
Management and Organization Review, 2011Co-Authors: Xiaohui Liu, Hongling WangAbstract:Using recent survey data, this study examines the impact of firm resources, industry dynamics, and government policies on the outward foreign direct investment (FDI) motives of Chinese firms, based on the integrated ‘strategy tripod’ framework. The results suggest that supportive government policies are important motivators for both Strategic Asset-seeking and market-seeking outward FDI. Firms' technology-based competitive advantages and a high level of industry research and development (R&D) intensity tend to motivate Strategic Asset-seeking outward FDI, whereas firm's export experience and higher level of domestic industry competition tend to induce market-seeking outward FDI.
