Similar Search Results

Portfolio Diversification and City Agglomeration

Goetzmann, William; Simonov, Andrei; Massa, Massimo - National Bureau of Economic Research (NBER) - 2004

-tradable risk. We find little evidence to support social and hedging motives to explain the lack of portfolio diversification, and …

Persistent link: https://www.econbiz.de/10005774431

Asset Management, Human Capital, and the Market for Risky Assets

Ehrlich, Isaac; Yin, Yong; William A. Hamlen Jr. - National Bureau of Economic Research (NBER) - 2008

micro-foundations of information acquisition and the role of human capital in asset, or risk, management. We derive testable …

Persistent link: https://www.econbiz.de/10005774610

Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income

Viceira, Luis M. - National Bureau of Economic Research (NBER) - 1999

This paper analyzes optimal portfolio decisions of long-horizon investors with undiversifiable labor income risk and … unambiguously larger for employed investors than for retired investors when labor income risk is uncorrelated with stock return risk … income risk on savings and portfolio choice and finds that, when labor income risk is independent of stock market risk, a …

Persistent link: https://www.econbiz.de/10005774694

International Stock Return Comovements

Bekaert, Geert; Hodrick, Robert James; Zhang, Xiaoyan - National Bureau of Economic Research (NBER) - 2005

establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston … trend in idiosyncratic risk in any of the countries we examine. …

Persistent link: https://www.econbiz.de/10005774823

Capital Gains Realizations of the Rich and Sophisticated

Auerbach, Alan; Siegel, Jonathan M. - National Bureau of Economic Research (NBER) - 2000

This paper attempts to bring theoretical and empirical research on capital gains realization behavior closer together by considering whether investors who appear to engage more in strategic tax avoidance activity also respond differently to tax rates. We find that such investors exhibit...

Persistent link: https://www.econbiz.de/10005774843

When Does a Mutual Fund's Trade Reveal its Skill?

Jagannathan, Ravi; Da, Zhi; Gao, Pengjie - National Bureau of Economic Research (NBER) - 2007

We conjecture that a mutual fund manager with superior stock selection ability is more likely to benefit from trading in stocks affected by information-events. Taking the probability of informed trading (PIN, Easley, Kiefer, O'Hara, and Paperman, 1996) to measure the amount of informed trading...

Persistent link: https://www.econbiz.de/10005774871

Simplification and Saving

Laibson, David; Madrian, Brigitte C.; Beshears, John; … - National Bureau of Economic Research (NBER) - 2006

The daunting complexity of important financial decisions can lead to procrastination. We evaluate a low-cost intervention that substantially simplifies the retirement savings plan participation decision. Individuals received an opportunity to enroll in a retirement savings plan at a pre-selected...

Persistent link: https://www.econbiz.de/10005774950

Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets: Reconciling Data and Theory

Attanasio, Orazio; Paiella, Monica - National Bureau of Economic Research (NBER) - 2006

This paper builds a unifying framework that, within the theory of intertemporal consumption choices, brings together …. Using the US Consumer Expenditure Survey and assuming isoelastic preferences, we estimate the coefficient of relative risk …

Persistent link: https://www.econbiz.de/10005775151

The Investment Behavior of Buyout Funds: Theory and Evidence

Ljungqvist, Alexander; Richardson, Matthew; Wolfenzon, … - National Bureau of Economic Research (NBER) - 2008

is "sticky" in the short run, we link the timing of funds' investment decisions, their risk-taking behavior, and the …

Persistent link: https://www.econbiz.de/10005775195

Consumption Commitments and Habit Formation

Chetty, Raj; Szeidl, Adam - National Bureau of Economic Research (NBER) - 2004

the habit stock is a weighted average of past consumption if idiosyncratic risk is large relative to aggregate risk …

Persistent link: https://www.econbiz.de/10005777399