Empirical studies demonstrated that US baby boomers consumption and savings patterns have affected economic aggregates over the past decades, among them equity returns. Boomers’ retirement is expected to mitigate the demand for equities until 2050, but its impact varies with the specific...

We develop closed-form expressions for the path and speed of stock price discovery in a utility-based CAPM with wealth effects. Two investors with uniquely bounded risk-preferences always apply opposite portfolio rebalancing trades. These trades determine the intra-period path and speed of price...

We document significant intra-year seasonality in outliers of S&P500 daily rates of return. Controlling for outliers in dummy regressions reveals that both the January and Monday effects turn from insignificant to highly significant. Mean daily return on January doubles and becomes significantly...

Mean and variance of daily type A and B stock returns in Shanghai and Shenzhen exchanges are studied before and after these stocks were subject to a ± 10% daily return limit, and when investors' clientele were segmented, vs. merged. We find that imposing the ± 10% return limit significantly...

Trend-chasing and Contrarian are well-documented empirical trading patterns that the literature generally attributes to behavioral biases. In contrast, we argue that both are rational portfolio rebalancing strategies in a dynamic asset allocation framework. Analyzing the interactions between...