Contributions published at Financial Economics (Felix Kübler)

Das Ziel der vorliegenden Bachelorarbeit ist es, Unterschiede in der Betadispersion von Schweizer Aktien in verschiedenen Marktszenarien zu analysieren. Dafür werden die Kurse von 19 verschiedenen Aktien des SMI in der Finanzkrise 2007-2009 und in einem von 2011-2013 andauernden Bullenmarkt verglichen. Die Betafaktoren werden für jede Periode anhand von täglichen und wöchentlichen Kursdaten mittels einer Regression berechnet. Um zusätzliche Erkenntnis zu kurzfristigen, zeitabhängigen Betafaktoren zu erlangen, wird mittels gleitender 10-tägiger und 30-tägiger Kovarianz-Varianz Formel die Betadispersion im zeitlichen Verlauf für beiden Perioden berechnet. Wählt ein Anleger ein Low-Beta Portfolio in der Krise aus, wird er eine Annäherung des Portfoliobetas zum Wert 1 im Bullenmarkt registrieren. Dieselbe Annäherung findet auch bei High-Beta Portfolios statt. Zudem lässt diese Arbeit den Schluss zu, dass innerhalb der betrachteten Perioden die tiefen Betafaktoren stabiler als hohe Betafaktoren sind. Es konnte keine signifikante Veränderung der Betafaktoren erkannt werden. Trotzdem verzeichneten die Low-Beta Portfolios über beide Perioden eine Überrendite gegenüber den High-Beta Portfolios, dieser Effekt könnte allerdings auf Zufall basieren. Die Resultate der Studie erkennen eine grössere Betadispersion in der Krisenperiode als im Bullenmarkt und können eine wertvolle Informationen für Anleger im Schweizer Aktienmarkt darstellen.

We give conditions under which an individual's preferences can be identified with finite data. First, we derive conditions that guarantee that a finite number of observations of an individual's binary choices identify preferences over an arbitrarily large subset of the choice space and allow one to predict how the individual shall decide when faced with choices not previously encountered. Second, we extend the argument to observations of individual demand. Finally, we show that finitely many observations of Walrasian equilibrium prices and profiles of individual endowments suffice to identify individual preferences and, as a consequence, equilibrium comparative statics.

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We critically review studies by Blanchard (B) and Rachel and Summers (RS). By the standard fiscal-gap measure, the US government is in dire fiscal shape thanks to constantly enlarging its postwar, take-as-you-go Ponzi scheme. Yet B and RS seemingly rationalize its expansion. Their arguments rest on the safe rate being very low. But almost all households face high safe rates—the rates available from pre-paying their loans. We also question modeling assumptions that help drive key B and RS results and reference recent simulation studies, which reach strongly opposite conclusions to B's.

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What does utility maximization subject to a budget constraint imply for intertemporal choice under uncertainty? Assuming consumers face a two period consumption-portfolio problem where asset markets are incomplete, we address this question following both the standard local infinitesimal and finite data approaches. To focus on the separate roles of time and risk preferences, individuals maximize KPS (Kreps-Porteus-Selden) preferences. The consumption-portfolio problem is decomposed into a one period portfolio problem and a two period certainty consumption-saving problem. We derive demand restrictions which are necessary and sufficient, for portfolio choices and certainty intertemporal consumption to have been generated by maximization, respectively, of a one period expected utility representation and a certainty representation of time preferences. Conditions are provided for recovering the building block time and risk preference utilities. For the finite data case, we derive a set of linear inequalities that are necessary and sufficient for observations to be consistent with the maximization of KPS utility.

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Do financial constraints affect human capital accumulation of young workers? Does student debt play a role in household formation? Using supply side variations in college aid policies, we empirically analyze the impact of student debt on post baccalaureate decisions. We find that student debt induces a front loading of earnings, an anticipation in household formation and has a negative and persistent effect on graduate school attendance. We then introduce and estimate a life cycle model with endogenous human capital accumulation, career choice and housing. Our results highlight the importance of differences in net wealth at labor market entry as determinants of long run human and physical capital accumulation. We also show that housing is fundamental to understand dynamics in career and enrollment choices over the life cycle. Finally, we compare alternative policy proposals. A widespread adoption of an income based repayment plan and a more ambitious forgiveness plan have similar effects, as both increase human capital accumulation, earnings growth, and postpone entry into homeownership.

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No existing dynamic preference model can simultaneously satisfy time consistency, the full separation of time and risk preferences, and temporal resolution of risk indi§erence. In the context of consumption-saving and consumption-portfolio optimization problems, we derive necessary and sufÖcient conditions such that all three of these properties are satisÖed by the dynamic ordinal certainty equivalent (DOCE) preference structure axiomatized in Selden and Stux (1978). These conditions ensure that DOCE resolute, naive and sophisticated consumption and asset demands are (i) identical and (ii) the same as the demands generated by Kreps and Porteus (1978) (KP) preferences. When the conditions are violated, the elasticity of intertemporal substitution can play a key role in determining whether axiomatic di§erences between the DOCE and KP preference models imply signiÖcantly di§erent demand behavior.

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