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The Long of It : Odds that Investor Sentiment Spuriously Predicts Anomaly Returns

Stambaugh, Robert F. - 2012

Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu and Yuan (2012), who find higher long-short...

Persistent link: https://www.econbiz.de/10012460429

Inflation Tracking Portfolios

Downing, Christopher T. - 2012

We propose a new approach to constructing inflation tracking portfolios. The key to this approach is the insight that asset returns track expected inflation far better than they track current realized inflation. Thus, we can construct portfolios that track next month's inflation much more...

Persistent link: https://www.econbiz.de/10012460524

Trading Complex Assets

Carlin, Bruce I. - 2010

We perform an experimental study of complexity to assess its effect on trading behavior, price volatility, liquidity, and trade efficiency. Subjects were asked to deduce the value of a particular asset from information they were given about the composition and price of several portfolios....

Persistent link: https://www.econbiz.de/10012462469

Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns

Roussanov, Nikolai - 2010

Value stocks covary with aggregate consumption more than growth stocks during periods when financial wealth is low relative to consumption. However, the conditional value premium does not exhibit such countercyclical behavior. Consequently, a one-factor conditional consumption-based asset...

Persistent link: https://www.econbiz.de/10012462582

Rationalizing Trading Frequency and Returns

Bonaparte, Yosef - 2010

Barber and Odean (2000) study the relationship between trading frequency andreturns. They find that households who trade more frequently have a lower net return than other households. But all households have about the same gross return. They argue that these results cannot emerge from a model...

Persistent link: https://www.econbiz.de/10012462631

Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts

Horneff, Wolfram J. - 2008

This paper shows how lifelong survival-contingent payouts can enhance investor wellbeing in the context of a portfolio choice model which integrates uninsurable labor income and asymmetric mortality expectations. Our model generates optimal asset location patterns indicating how much to hold in...

Persistent link: https://www.econbiz.de/10012464591

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

Wachter, Jessica A. - 2007

Are excess returns predictable and if so, what does this mean for investors? Previous literature has tended toward two …

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

Optimal Asset Allocation in Asset Liability Management

van Binsbergen, Jules H. - 2007

We study the impact of regulations on the investment decisions of a defined benefits pension plan. We assess the … investment. In contrast, punitive constraints, such as mandatory additional contributions from the sponsor when the plan becomes … real effects on investment behavior. For example, the current requirement to discount liabilities at a rolling average of …

Persistent link: https://www.econbiz.de/10012465686

Testing Portfolio Efficiency with Conditioning Information

Ferson, Wayne E. - 2006

We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our...

Persistent link: https://www.econbiz.de/10012466570

Pairs Trading : Performance of a Relative Value Arbitrage Rule

Gatev, Evan G. - 1999

We test a Wall Street investment strategy known as pairs trading' with daily data over the period 1962 through 1997 … of the period. We bootstrap random pairs in order to distinguish pairs trading from pure mean-reversion strategies. The … bootstrap results suggest that the pairs' effect differs from previously documented mean reversion profits …

Persistent link: https://www.econbiz.de/10012471768