Showing 1 - 10 of 521
Survey respondents strongly disagree about return risks and, increasingly, macroeconomic uncertainty. This may have contributed to higher asset prices through increased use of collateralisation, which allows risk-neutral investors to realise perceived gains from trade. Investors with lower risk...
Persistent link: https://www.econbiz.de/10011084220
phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed …
Persistent link: https://www.econbiz.de/10005666589
This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they are compensated for doing so.We show that the ability of aggregate retail order imbalances, contrarian in nature, to predict short-term future returns is significantly enhanced...
Persistent link: https://www.econbiz.de/10011096103
applications of our theory. We first show that predictions of our model provide a novel theoretical justification and are … theory of debt versus equity. Third, we provide conditions under which permanent over- or under-pricing of assets is …
Persistent link: https://www.econbiz.de/10011083236
We present a model of quantitative trading as an automated system under human supervision. Contrary to previous literature we show that price-contingent trading is the profitable equilibrium strategy of large rational agents in efficient markets. The key ingredient is uncertainty about whether a...
Persistent link: https://www.econbiz.de/10011083393
We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine over 140 years of risk and return of one of the most popular mechanical trading strategies—momentum. We find that the momentum strategy has earned abnormally high risk-adjusted returns—a...
Persistent link: https://www.econbiz.de/10011083413
The 2005 inclusion of Fitch ratings in the Lehman composite index ratings provides a quasi-natural experiment to identify rating-based market segmentation in the corporate bond market. Split-rated bonds with favorable Fitch rating that were mechanically upgraded to investment-grade status...
Persistent link: https://www.econbiz.de/10011083426
On September 15, 2008, Lehman Brothers Inc. announced their filing for bankruptcy. The reaction of Lehman's competitors and market participants to this bankruptcy filing announcement provides a unique field experiment of how the insolvency spills over to other financial institutions and how...
Persistent link: https://www.econbiz.de/10011083604
Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to...
Persistent link: https://www.econbiz.de/10011083650
, and volatility risks, its performance presents a challenge to asset pricing models. …
Persistent link: https://www.econbiz.de/10011083673