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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The Black-Litterman (BL) model aims to enhance asset allocation decisions by overcoming the weaknesses of standard mean-variance (MV) portfolio optimization. In this study we implement the BL model in a multi-asset portfolio context. Using an investment universe of global stock indices, bonds, and commodities, we empirically test the out-of-sample portfolio performance of BL optimized portfolios and compare the results to mean-variance (MV), minimum-variance, and naïve diversified portfolios (1/N-rule) for the period from January 1993 to December 2011. We find that BL optimized portfolios perform better than MV and naïve diversified portfolios in terms of out-of-sample Sharpe ratios even after controlling for different levels of risk aversion, realistic investment constraints, and transaction costs. Interestingly, the BL approach is well suited to alleviate most of the shortcomings of MV optimization. The resulting portfolios are less risky, are more diversified across asset classes, and have less extreme asset allocations. Sensitivity analyses indicate that the outperformance of the BL model is due to the consideration of the reliability of return estimates and a lower portfolio turnover. Terms of use: Documents in

This study conducts tests of the pecking order theory using an international sample with more than 6000 firms over the period from 1995 to 2005. The high correlation between net equity issuances and the financing deficit discredits the static pecking order theory. Rather than analyzing the predictions of the theory, we test its core assumption that information asymmetry is an important determinant of capital structure decisions. Our empirical results support the dynamic pecking order theory and its two testable implications. First, the probability of issuing equity increases with less pronounced firm-level information asymmetry. Second, firms exploit windows of opportunity by making relatively larger equity issuances and build up cash reserves (slack) after declines in firm-level information asymmetry. Firms from common law countries use parts of their proceeds from an equity issuance to redeem debt and to rebalance their capital structure. These findings are consistent with a time-varying adverse selection explanation of firms' financing decisions.