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Tracking Biased Weights : Asset Pricing Implications of Value-Weighted Indexing

Jiang, Hao - 2020

We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index portfolio. This finding runs counter to the CAPM,...

Persistent link: https://www.econbiz.de/10012482472

Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets

Ehrlich, Isaac - 2010

deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance … models predict. Our model ascribes the "bias" to endogenous information acquisition bolstered by investors' human capital. We …

Persistent link: https://www.econbiz.de/10012462984

International Portfolio Allocation under Model Uncertainty

Benigno, Pierpaolo - 2009

This paper proposes an explanation of the international home bias in equity based on ambiguity aversion. Doubts imply … exchange rate risk even when bonds are traded. The higher is the degree of ambiguity aversion, the stronger is the home bias … explain a large share of the observed US home bias, as well as other stylized facts on US cross-border asset holdings …

Persistent link: https://www.econbiz.de/10012463913

Consumption Smoothing and Portfolio Rebalancing : The Effects of Adjustment Costs

Bonaparte, Yosef - 2011

This paper studies the dynamics of portfolio rebalancing and consumption smoothing in the presence of non-convex portfolio adjustment costs. The goal is to understand a household's response to income and return shocks. The model includes the choice of two assets: one riskless without adjustment...

Persistent link: https://www.econbiz.de/10012461700

Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection

Horneff, Vanya - 2013

We evaluate lifecycle consumption and portfolio allocation patterns resulting from access to Guaranteed Minimum Withdrawal Benefit (GMWB) variable annuities, one of the most rapidly-growing financial innovations over the last two decades. A key feature of these products is that they offer access...

Persistent link: https://www.econbiz.de/10012459457

International Diversification at Home and Abroad

Cai, Fang - 2006

observed home bias …

Persistent link: https://www.econbiz.de/10012466448

Machine Forecast Disagreement

Bali, Turan G.; Kelly, Bryan T.; Mörke, Mathis; … - National Bureau of Economic Research - 2023

aligns with extant measures of disagreement (e.g., analyst forecast dispersion), but is a significantly stronger predictor of … disagreement and future returns. A decile spread portfolio that is short stocks with high forecast disagreement and long stocks …

Persistent link: https://www.econbiz.de/10014337816

A Multivariate Model of Strategic Asset Allocation

Campbell, John Y. - 2001

Much recent work has documented evidence for predictability of asset returns. We show how such predictability can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption their wealth can support. We develop an approximate solution method...

Persistent link: https://www.econbiz.de/10012470152

Predictable Returns and Asset Allocation : Should a Skeptical Investor Time the Market?

Wachter, Jessica A. - 2007

intermediate view: that both data and theory are useful for decision-making. We investigate optimal portfolio choice for an …

Persistent link: https://www.econbiz.de/10012465488

Yesterday's Heroes : Compensation and Creative Risk-Taking

Cheng, Ing-Haw - 2010

We study the relationship between compensation and risk-taking among finance firms using a neglected insight from principal-agent contracting with hidden action and risk-averse agents. If the sensitivity of pay to stock price or slope does not vary with stock price volatility, then total...

Persistent link: https://www.econbiz.de/10012462481

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