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ECONIS (ZBW)
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5801
Overconfidence, Information Diffusion, and Mispricing Persistence
Daniel, Kent D.
-
2018
We propose a dynamic heterogeneous agents model which generates testable hypotheses about the formation, timing and bursting of asset price bubbles in the presence of short-sale constraints, given a calibration that is consistent with momentum and reversal effects for unconstrained assets....
Persistent link: https://www.econbiz.de/10012906771
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5802
Monetary Policy and Reaching for Income
Daniel, Kent D.
-
2018
We study the impact of monetary policy on investors' portfolio choices and asset prices. Using data on individual portfolio holdings and on mutual fund flows, we find that a low-interest-rate monetary policy increases investors' demand for high-dividend stocks and drives up their prices. The...
Persistent link: https://www.econbiz.de/10012906775
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5803
Protection of Retail Investors
Merenda, David
-
2018
Mis-selling is a serious problem disrupting trust of investors in financial markets. As behavioural research gradually exposed, mis-selling is inextricably linked to mental weakness(es) in the decision-making process that have not been sufficiently reflected in the European financial service...
Persistent link: https://www.econbiz.de/10012906809
Saved in:
5804
Media Sentiment and International Asset Prices
Fraiberger, Samuel P.
-
2018
This paper assesses the impact of media sentiment on international equity prices using a dataset of more than 4.5 million Reuters articles published across the globe between 1991 and 2015. Media sentiment robustly predicts daily returns in both advanced and emerging markets, even after...
Persistent link: https://www.econbiz.de/10012906911
Saved in:
5805
Tail Behavior in Portfolio Optimization for Equity Style Factors
Kartsakli, Maria
-
2018
Diversification has been long considered an essential part of investing for the long term. Our paper aims to look further on portfolio diversification and how asset allocation can be optimized. We suggest that the selection of investments in a portfolio should be based on how the market behaves...
Persistent link: https://www.econbiz.de/10012906959
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5806
Security for Costs Applications in Investment Arbitrations Involving Insolvent Investors
Markert, Lars A.
-
2018
Recent years have seen a significant increase in security for cost applications in investment arbitrations. These applications see states arguing that even if they prevailed on the merits and were to be awarded reimbursement of their costs for the arbitral proceedings, they would be unable to...
Persistent link: https://www.econbiz.de/10012907049
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5807
Trend Following with Momentum Versus Moving Average : A Tale of Differences
Zakamulin, Valeriy
-
2018
Despite the ever-growing interest in trend following and a series of publications in academic journals, there is still a great shortage of theoretical results on the properties of trend following rules. Our paper fills this gap by comparing and contrasting the two most popular trend following...
Persistent link: https://www.econbiz.de/10012907259
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5808
Models or Stars : The Role of Asset Pricing Models and Heuristics in Investor Risk Adjustment
Evans, Richard B.
-
2018
We examine how third party ratings and mandatory benchmark disclosure affect aggregate risk adjustment by retail investors. Morningstar changed its ratings methodology in June 2002. Before the change, the ratings were based on a risk-adjusted performance ranking of all US equity funds and highly...
Persistent link: https://www.econbiz.de/10012907676
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5809
A Study of Existence of Overconfidence Biases among Investors and Its Impact on Investment Decision
Trehan, Bhoomika
-
2018
In current scenario, behavioral finance plays an important role in investment decision making. Investment decision has become a complex decision with the availability of investment choices, accessibility of information and increased size of the market. There are various options or choices...
Persistent link: https://www.econbiz.de/10012907898
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5810
'Are Cryptocurrencies’ Returns Predictable?' The Role of Momentum, Value, Carry and Investor Sentiment in the Cryptocurrencies World
Armillis, Carlo
-
2018
The following study investigates whether there exist factors that have a degree of predictability when predicting the returns of cryptocurrencies. Using a daily dataset on 11 cryptocurrencies, this paper begins with analysing the role of Momentum Value and Carry in this market. It seems that...
Persistent link: https://www.econbiz.de/10012908122
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5811
Financial Literacy Confidence and Retirement Planning : Evidence from China
Chen, Bingzheng
-
2018
Though there is ample empirical evidence demonstrating the relationship between objective financial literacy and retirement planning, we have limited understanding on the role of subjective financial literacy and financial literacy confidence level in individual's retirement planning. In this...
Persistent link: https://www.econbiz.de/10012908215
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5812
Investors’ Perceptions of Activism Via Voting : Evidence from Contentious Shareholder Meetings
Brochet, Francois
-
2018
We examine investors' perceptions of shareholder activism via voting. To identify instances of activism via voting, we focus on annual meetings with at least one ballot item where a substantial fraction of shareholders is expected to vote against management's voting recommendation, indicating an...
Persistent link: https://www.econbiz.de/10012908330
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5813
Personal Trading by Brokers, Analysts, and Fund Managers
Berkman, Henk
-
2018
When brokers, analysts and fund managers buy or sell for their own account, they outperform retail investors over short windows up to a month. They earn particularly high abnormal returns when they trade simultaneously with other financial experts and when they trade before earnings...
Persistent link: https://www.econbiz.de/10012908375
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5814
Replicating Anomalies
Hou, Kewei
-
2018
Most anomalies fail to hold up to currently acceptable standards for empirical finance. With microcaps mitigated via NYSE breakpoints and value-weighted returns, 65% of the 452 anomalies in our data library, including 96% of the trading frictions category, cannot clear the single test hurdle of...
Persistent link: https://www.econbiz.de/10012908639
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5815
Passive Informed Trading Around Earnings Announcements
Roseman, Brian
-
2018
Using a sample of NASDAQ firms we investigate informed trading in the limit order book (LOB) prior to earnings announcements. Consistent with recent limit order theory, and in contrast to classic adverse selection models, we show that informed traders supply liquidity. Relative to a sample of...
Persistent link: https://www.econbiz.de/10012908947
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5816
Do Momentum and Reversal Strategies Work in Commodity Futures? A Comprehensive Study
Urquhart, Andrew
-
2018
This paper investigates the performance of three different trading strategies – Jegadeesh and Titman (1993), George and Hwang (2004) and Gatev, Goetzmann and Rouwenhorst (2006) – in 29 commodity futures from January 1979 to October 2017. We find there is no significant reversal profit across...
Persistent link: https://www.econbiz.de/10012909035
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5817
The Credit and Bond Liquidity Effects of Hedge Fund Activism
Berndt, Antje
-
2018
I document an abnormal increase in the price of default insurance for target firms at the time of an activist hedge fund intervention, despite an abnormal decrease in expected default losses. After the intervention, credit spreads remain abnormally high for confrontational activist campaigns but...
Persistent link: https://www.econbiz.de/10012909107
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5818
On Booms That Never Bust : Ambiguity in Experimental Asset Markets with Bubbles
Corgnet, Brice
-
2018
We study the effect of ambiguity on the formation of bubbles and on the occurrence of crashes in experimental asset markets à la Smith, Suchanek, and Williams (1988). We extend their framework to an environment where the fundamental value of the asset is ambiguous. We show that, when the...
Persistent link: https://www.econbiz.de/10012909268
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5819
Retail Investors Get a Sweet Deal : The Cost of a SIP of Stock Market Data
Angel, James
-
2018
High quality data are essential for markets to function efficiently. This study describes the production and dissemination of U.S. stock market data and explores how much individual investors are paying for the data. The joint nature of the production of information along with trading,...
Persistent link: https://www.econbiz.de/10012909322
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5820
The Momentum of News
Wang, Ying
-
2018
Relying on a comprehensive data set of news releases, we construct monthly firm-level news sentiment scores during the 2000–2016 period and document a news momentum phenomenon of stocks with more positive news in the past generating more positive news in the future. We propose three hypotheses...
Persistent link: https://www.econbiz.de/10012909354
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5821
The Disposition Effect in Boom and Bust Markets
Bernard, Sabine
-
2018
The disposition effect is one of the most explored biases in behavioral finance, yet most papers investigating the disposition effect use data that only cover boom periods and assume that the disposition effect is constant over time. We use individual investor trading data that comprise several...
Persistent link: https://www.econbiz.de/10012909611
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5822
Hedge Fund Investment Management
Mazaheri, Mohsen
-
2018
In this paper,hedge fund investment management considerations outside of trade generation are discussed. Hedge fund trade evaluation, hedging, risk management, portfolio construction, liquidity, and cash management are discussed
Persistent link: https://www.econbiz.de/10012909682
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5823
Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing : The European Evidence
Guidolin, Massimo
-
2018
We investigate the relationship between risk-adjusted returns, arbitrage risk and arbitrage asymmetry, and investor sentiment in the European stock market. Under the assumption that idiosyncratic volatility (IVOL) causes arbitrage risk, we analyze the effects of IVOL on the-abnormal returns of...
Persistent link: https://www.econbiz.de/10012909696
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5824
The Stock Market Reactions to Terminations of Over Funded Pension Plans
Singha-Uthorn, Nobchanok
-
2018
Using most recent firm level data over the period 1986-1994, this study examines the stock market reaction with respect to pension plan type (defined benefit or defined contribution) established following the termination of an over funded DB plan. Generally, we find support for the separation...
Persistent link: https://www.econbiz.de/10012909715
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5825
Superreplication of the Best Pairs Trade in Hindsight
Garivaltis, Alex
-
2018
For a market with m assets and T discrete trading sessions, Cover and Ordentlich (1998) found that the “Cost of Achieving the Best Rebalancing Rule in Hindsight” is p(T, m) = <sub>n<sub>1</sub> ···<sup>Σ</sup> n<sub>m</sub>=T</sub> (n<sub>1</sub>,<sup>T</sup>...,n<sub>m</sub>)(n<sub>1</sub>/T)(n<sub>1</sub> · · · (n<sub>m</sub>/T)<sup>n<sub>m</sub></sup>. Their super-replicating strategy is impossible to compute...
Persistent link: https://www.econbiz.de/10012909930
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5826
Contrarians or Momentum Chasers? Individual Investors’ Behavior When Trading ETFs
Da Dalt, Carlo
-
2018
Conducting the first study of momentum impact on households' ETF trading behavior, we find that Finnish households are less contrarian when trading benchmark index ETFs than when trading common stocks. Also, their propensity to chase recent positive momentum is higher when purchasing ETFs than...
Persistent link: https://www.econbiz.de/10012909944
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5827
Can Investors Benefit from Hedge Fund Strategies? Utility‐Based, Out‐of‐Sample Evidence
Guidolin, Massimo
-
2018
We report systematic, out-of-sample evidence on the benefits to an already well diversified investor that may derive from further diversification into various hedge fund strategies. We investigate dynamic strategic asset allocation decisions that take into account investors' preferences as well...
Persistent link: https://www.econbiz.de/10012910099
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5828
Traditional Finance - Behavioral Finance Distinction in the Context of Expected Utility and Prospect Theories
Tekin, Bilgehan
-
2018
Traditional finance has developed based on two fundamental assumptions, including the expected utility theory and rational choice or decision. However, this hypothesis has been criticized heavily by put forward that are not realistic enough. The basis of behavioral finance theory is based on the...
Persistent link: https://www.econbiz.de/10012910229
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5829
A Behavioral Economics Approach to a Sustainable Finance Architecture – Development of a Sustainability Taxonomy for Investor Decision Usefulness
Beerbaum, Dirk
-
2018
Globalization has led to an unprecedented correlation of massive global systems causing systemic risk to increase exponentially (Centeno et al., 2013). 10 years after the global financial crisis, what are the lessons learned, what was improved and what still needs to be accomplished? The crucial...
Persistent link: https://www.econbiz.de/10012910277
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5830
Characteristics of ETF Owners : Exploring the Role of Investor Knowledge, Fee Aversion, and Financial Advice Seeking
Enete, Shane
-
2018
Using the 2015 NFCS Investor Survey, this study investigated the relationship between individual financial characteristics and ETF ownership. While ETFs offer many benefits in comparison to traditional mutual funds, only 22% of investors held ETFs in their investment portfolios. Those ETF owners...
Persistent link: https://www.econbiz.de/10012910331
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5831
Illiquidity and Stock Returns : A Revisit
Amihud, Yakov
-
2018
This paper explains and extends my 2002 paper. It presents a return factor of illiquid-minus-liquid stocks, called IML, which provides a time series of the illiquidity premium. The risk-adjusted predicted return on IML is lower in the period that follows my 2002 paper but it is still...
Persistent link: https://www.econbiz.de/10012910390
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5832
Risk Preference, Asset Allocation, and Seniors’ Satisfaction
Chen, Ruizhi
-
2018
Maintaining clients' financial satisfaction is a primary goal of financial planners. Previous research has found that net worth, income, and demographic characteristics are relevant to an individuals' financial satisfaction. However, no existing research identifies whether the alignment between...
Persistent link: https://www.econbiz.de/10012910394
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5833
Association between Financial Risk Tolerance and Locus of Control, Sensation Seeking for Pre-Retiree Baby Boomers
Rabbani, Abed
-
2018
Financial risk tolerance is an important concept that helps financial planners recommend financial products to their clients. As the baby boomer generation approaches retirement, research to determine how these individuals perceive financial risk tolerance has grown exponentially. The present...
Persistent link: https://www.econbiz.de/10012910473
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5834
Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices
Buffa, Andrea M
-
2018
We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...
Persistent link: https://www.econbiz.de/10012910534
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5835
Air Pollution and Analyst Information Production
Li, Chao Kevin
-
2018
Recent studies investigate the impact of air pollution on labor productivity. We extend this literature by showing that air pollution negatively affects equity analysts in their role as information producers for capital markets. Compared to analysts experiencing clean air, analysts exposed to...
Persistent link: https://www.econbiz.de/10012910764
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5836
Leverage-Induced Fire Sales and Stock Market Crashes
Bian, Jiangze
-
2018
We provide direct evidence of leverage-induced fire sales contributing to a market crash using account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash of 2015. Margin investors heavily sell their holdings when their account-level...
Persistent link: https://www.econbiz.de/10012911095
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5837
Peer Advice on Financial Decisions : A Case of the Blind Leading the Blind?
Ambuehl, Sandro
-
2018
Previous research shows that many people seek financial advice from non-experts, and that peer interactions influence financial decisions. We investigate whether such influences are beneficial, harmful, or simply haphazard. In our laboratory experiment, face-to-face communication with a randomly...
Persistent link: https://www.econbiz.de/10012911100
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5838
Are Multiple Share Class Investors Disadvantaged? Evidence from Morningstar Stewardship Grades
Handy, Jonathan F.
-
2018
This paper analyzes whether or not investors who utilize financial advisors/brokers are systematically directed to mutual fund investments that have lower quality governance. By utilizing the Morningstar Stewardship Grades and analyzing the Board Quality, Managerial Incentive, Fee Rating, and...
Persistent link: https://www.econbiz.de/10012911219
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5839
Entering the Market for Financial Advice : Insights from Advisors and Financial Planning Students
Browning, Chris
-
2018
Persistent link: https://www.econbiz.de/10012911222
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5840
Outcome Bias in Financial Decision Making
Germann, Maximilian
-
2018
We experimentally investigate the Outcome Bias in financial decision making. In three treatments, we vary the cognitive challenge investors have to overcome to separate skill from luck. Investors show clear tendencies towards the Outcome Bias in all treatments. The Outcome Bias is stronger, by a...
Persistent link: https://www.econbiz.de/10012911436
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5841
What Matters to Individual Investors? Evidence from the Horse's Mouth
Choi, James J.
-
2018
We survey a representative sample of U.S. individuals about how well leading academic theories describe their financial beliefs and decisions. We find substantial support for many factors hypothesized to affect portfolio equity share, particularly background risk, investment horizon, rare...
Persistent link: https://www.econbiz.de/10012911457
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5842
Is Gold a Sometime Safe Haven or an Always Hedge for Equity Investors? A Markov-Switching CAPM Approach for US and UK Stock Indices
He, Zhen
-
2018
This paper re-examines gold's role as a tool for investors to manage their portfolio risk. We begin by assessing gold's average relationship to an investor's diversified equity portfolio by applying the basic Capital Asset Pricing Model (CAPM) to UK and US equity indices. Next, we apply a...
Persistent link: https://www.econbiz.de/10012911678
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5843
Understanding the Decision Making Process of Sovereign Wealth Funds : The Case of Temasek
Gnabo, J.Y.
-
2018
Sovereign wealth funds (SWFs) have been increasingly active over the past decade, raising concern from governments regarding their actual motives and potential cross-border stakes in national strategic sectors. The aim of this paper is to contribute to the existing literature to understand...
Persistent link: https://www.econbiz.de/10012911684
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5844
When Investor Incentives and Consumer Interests Diverge : Private Equity in Higher Education
Eaton, Charlie
-
2018
This paper studies how private equity buyouts create value in higher education, a sector with opaque product quality and intense government subsidy. With novel data on 88 private equity deals involving 994 schools, we show that buyouts lead to higher tuition and per-student debt. Exploiting loan...
Persistent link: https://www.econbiz.de/10012911710
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5845
Asset Insulators
Chodorow-Reich, Gabriel
-
2018
We propose that financial institutions can act as asset insulators, holding assets for the long run to protect their valuations from consequences of exposure to financial markets. We demonstrate the empirical relevance of this theory for the balance sheet behavior of a large class of...
Persistent link: https://www.econbiz.de/10012911716
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5846
How Investors Constrain Digital Innovation
Bharadwaj, Anandhi
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2018
Businesses understand the power of digital innovations to reshape industries and markets. Yet, time and again, they have struggled to innovate with new and disruptive technologies. Research by Clayton Christensen and others demonstrate that an incumbent's failure has little to do with the...
Persistent link: https://www.econbiz.de/10012911958
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5847
Has Momentum Lost Its Momentum?
Bhattacharya, Debarati
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2018
We evaluate the robustness of momentum returns in the US stock market over the period 1965 to 2012. We find that momentum profits have become insignificant since the late 1990s. Investigations of momentum profits in high and low volatility months address the concerns about unprecedented levels...
Persistent link: https://www.econbiz.de/10012912137
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5848
Optimal Portfolios under Time-Varying Investment Opportunities, Parameter Uncertainty and Ambiguity Aversion
Dangl, Thomas
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2018
We study the implications of predictability on the optimal asset allocation of ambiguity-averse long-term investors and analyze the term structure of the multivariate risk-return trade-off considering parameter uncertainty. We calibrate the model to real returns of US stocks, long-term bonds,...
Persistent link: https://www.econbiz.de/10012935089
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5849
Who Benefits in a Crisis? Evidence from Hedge Fund Stock and Option Holdings
Aragon, George O.
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2018
We use a unique data set of hedge fund long equity and equity option positions to investigate a significant lockup-related premium earned during the Tech Bubble and Financial Crisis. Net fund flows are significantly greater among lockup funds during crisis and non-crisis periods. Managers of...
Persistent link: https://www.econbiz.de/10012935121
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5850
Maturity Driven Mispricing of Options
Eisdorfer, Assaf
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2018
This paper documents that options held from one expiration date to the next achieve significantly lower returns when there are four versus five weeks between expiration dates. The average return differential ranges from 12 basis points per week for delta-hedged put portfolios to 89 basis points...
Persistent link: https://www.econbiz.de/10012935172
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