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Testing CAPM with a Large Number of Assets

Pesaran, M. Hashem - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10013107698

Private Information, Human Capital, andOptimal “Home Bias” in Financial Markets

Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2011

By allowing for imperfectly informed markets and the role of private information, we offer newinsights about observed deviations of portfolio concentrations in domestic relative to foreignrisky assets, or “home bias”, from what standard finance models predict. Our model ascribesthe...

Persistent link: https://www.econbiz.de/10009522205

Belief Elicitation in Experiments : Is There a Hedging Problem?

Blanco, Mariana; Engelmann, Dirk; Koch, Alexander K.; … - 2021

existing belief elicitation results, (ii) can we avoid potential hedging confounds? Our results instill confidence regarding … both issues. We propose an experimental design that eliminates hedging opportunities, and use this to test for the … empirical relevance of hedging effects in the lab. We find no evidence for hedging, comparing the standard "hedging …

Persistent link: https://www.econbiz.de/10013325138

Occupational Choice and the Spirit of Capitalism

Doepke, Matthias - 2015

The British Industrial Revolution triggered a reversal in the social order of society whereby the landed elite was replaced by industrial capitalists rising from the middle classes as the economically dominant group. Many observers have linked this transformation to the contrast in values...

Persistent link: https://www.econbiz.de/10012707835

Trading While Sleepy? Circadian Mismatch and Excess Volatility in a Global Experimental Asset Market

Dickinson, David L. - 2017

Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...

Persistent link: https://www.econbiz.de/10012947730

Learning to Take Risks? The Effect of Education on Risk-Taking in Financial Markets

Black, Sandra E. - 2015

We investigate whether acquiring more education when young has long-term effects on risk-taking behavior in financial markets and whether the effects spill over to spouses and children. There is substantial evidence that more educated people are more likely to invest in the stock market....

Persistent link: https://www.econbiz.de/10013025862

Mind, Body, Bubble! Psychological and Biophysical Dimensions of Behavior in Experimental Asset Markets

Butler, David J. - 2018

Asset market bubbles and crashes are a major source of economic instability and inefficiency. Sometimes ascribed to animal spirits or irrational exuberance, their source remains imperfectly understood. Experimental methods can isolate systematic deviations from an asset's fundamental value in a...

Persistent link: https://www.econbiz.de/10012917090

League-Table Incentives and Price Bubbles in Experimental Asset Markets

Cheung, Stephen L. - 2011

We study experimental markets in which participants face incentives modeled upon those prevailing in markets for managed funds. Each participant's portfolio is periodically evaluated at market value and ranked in a league table according to short-term paper returns. Those who rank highly attract...

Persistent link: https://www.econbiz.de/10013124787

Circumstantial Risk : Impact of Future Tax Evasion and Labor Supply Opportunities on Risk Exposure

Doerrenberg, Philipp - 2014

This paper examines whether risk-taking in a lottery depends on the opportunity to respond to the lottery outcome through additional labor effort and/or tax evasion. Previous empirical attempts to answer this question face identification issues due to self-selection into jobs that facilitate tax...

Persistent link: https://www.econbiz.de/10013059678

On Social Preferences and the Intensity of Risk Aversion

Stark, Oded - 2019

We study the relative risk aversion of an individual with particular social preferences: his wellbeing is influenced by his relative wealth, and by how concerned he is about having low relative wealth. Holding constant the individual's absolute wealth, we obtain two results. First, if the...

Persistent link: https://www.econbiz.de/10012867983