Walker (1993a, 1993b) conclude that there is a systematic relationship between returns and the size of Chilean Pension Funds. This association is ussually motivated by institutional and regulatory aspects. This paper introduces a theoretical model to motivate the usage of econometric techniques that show that there is a causal relation between portfolio selection and the size that renders a nonlinear association between returns and size. This association is robust even when models that control for assumed risk are used.
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Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía.
Find related papers by JEL classification: C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Ravi Jagannathan & Zhenyu Wang, 1993.
"The CAPM is alive and well,"
Staff Report
165, Federal Reserve Bank of Minneapolis.
[Downloadable!]
Other versions:
Ravi Jagnnathan & Ellen R. McGrattan, 1995.
"The CAPM debate,"
Quarterly Review,
Federal Reserve Bank of Minneapolis, issue Fall, pages 2-17.
[Downloadable!]
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