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Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...

Persistent link: https://www.econbiz.de/10012250652

Black Monday, globalization and trading behavior of stock investors

Kurz-Kim, Jeong-Ryeol - 2016

investors behaved more as in the momentum strategy; and after Black Monday more as in the contrarian strategy. We argue that …

Persistent link: https://www.econbiz.de/10011486252

Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors

Schröder, Michael - 2000

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

Persistent link: https://www.econbiz.de/10013428350

Decomposing the disposition effect

Maier, Johannes K.; Fischer, Dominik Simon - 2021

We theoretically show that there is a fundamental disconnect be- tween the disposition effect, i.e., investors’ tendency to sell winning assets too early and losing assets too late, and its common empirical measure, namely a positive difference between the proportion of gains and losses re-...

Persistent link: https://www.econbiz.de/10012648374

The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time

Beißner, Patrick; Rosazza Gianin, Emanuela - 2018

Recent empirical studies suggest a downward sloping term structure of Sharpe ratios. We present a theoretical framework in continuous time that can cope with such a non-flat forward curve of risk prices. The approach departs from an arbitrage-free and incomplete market setting when different...

Persistent link: https://www.econbiz.de/10011899208

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10011663407

What is 'firm heterogeneity' in trade models? : the role of quality, scope, markups and cost

Hottman, Colin; Redding, Stephen; Weinstein, David E. - 2014

Persistent link: https://www.econbiz.de/10010465027

A unified approach to estimating demand and welfare

Redding, Stephen; Weinstein, David E. - 2016

Persistent link: https://www.econbiz.de/10011529701

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014

momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially … mutual funds, are momentum traders, whereas private households are contrarians. Contrarian trading by private households … momentum trading over time, we document substantial increase in sales of loser stocks by foreign and institutional investors …

Persistent link: https://www.econbiz.de/10010471006

Do robo-advisors make us better investors?

Back, Camila; Morana, Stefan; Spann, Martin - 2021

with cognitive dissonance theory, which predicts that assigning responsibility to the advisor helps investors resolve a …

Persistent link: https://www.econbiz.de/10012500401