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Changing preferences as a source of stock return variation

Winkler, Julian - 2024

What can granular data on investors' asset demand tell us about stock return variation? Motivated by the recent literature on demand-based asset pricing, I model the growth rate of portfolio holdings based on evolving asset fundamentals by including demand for asset-specific characteristics in a...

Persistent link: https://www.econbiz.de/10015214526

Online Banking Users vs. Branch Visitors: Why Are Their Portfolio Returns Different?

Nagano, Mamoru; Uchida, Yuki - 2021

This study investigates why portfolio returns of online banking users are higher than those of non-online users. We first demonstrate that households that are eager to improve their level of financial literacy are more likely to use online banking. Second, a marginal increase in risk appetite...

Persistent link: https://www.econbiz.de/10015232631

Modern currency exchange rate behaviour and proposed trend-like forecasting model

Tweneboah Senzu, Emmanuel - 2020

The study examined high volatile assets, specifically the currency exchange rate of the open financial market. Takes into consideration the five most traded paired currencies of the global financial market. And observed, generally, the dataset of the unit currency exchange rate exhibits...

Persistent link: https://www.econbiz.de/10015257976

Die Theorie der fairen geometrischen Rendite

Sonntag, Dominik - 2018

The theory of fair geometric returns, F theory for short, rejects the generally accepted notion that volatility is the … geometric return. In order to get to the point, F theory, in addition to its own ideas, resorts to information theoretical …-called) concept of the fugue – a novel countercyclical investment strategy borrowed from music theory; as well as an F-theory …

Persistent link: https://www.econbiz.de/10015260519

Quanto conta il modo in cui viene posta la domanda? Un’analisi dell’effetto “framing” sul livello di alfabetizzazione finanziaria in Italia.

Paladino, Giovanna - 2022

This article takes its cue from the relevance of the framing effect in the field related to behavioural biases associated with economic decision-making. Most of the attempts made to measure financial literacy relies on surveys that include standardized questions about the knowledge of three or...

Persistent link: https://www.econbiz.de/10015265636

Modern currency exchange rate behaviour and proposed trend-like forecasting model

Tweneboah Senzu, Emmanuel - 2020

Persistent link: https://www.econbiz.de/10015267248

Ask a question, get an answer. A study of the framing effect on financial literacy in Italy

Paladino, Giovanna - 2022

This paper takes its cue from the relevance of the framing effect related to behavioural biases associated with economic decision-making. Most attempts to measure financial literacy rely on surveys that include standardized questions about the knowledge of three or four fundamental concepts. A...

Persistent link: https://www.econbiz.de/10015267419

Ex-ante Valuation based on Prospect Theory

Fang, Yi; Niu, Hui; Lin, Yuen - 2023

We propose a simple algorithm for the ex-ante valuation based on prospect theory. Our results reveal a strong and … robust pricing effect associated with predicted values based on prospect theory (PV) in the US market, that is, higher ex …

Persistent link: https://www.econbiz.de/10015269514

Managing fundamentals versus preferences: Re-balancing portfolios and stock returns

Winkler, Julian - 2023

What can granular data on investor holdings tell us about stock price variation? I model the growth rate of a portfolio manager's holdings based on evolving asset fundamentals by including demand for asset-specific characteristics in a portfolio optimisation function. Alongside changes in asset...

Persistent link: https://www.econbiz.de/10015270971

Herd behavior towards the market index: evidence from Romanian stock exchange

Pop, Raluca Elena - 2012

This paper uses the cross-sectional variance of the betas from the CAPM model to study herd behavior towards market index in Romania. For time-varying beta determination, three different modeling techniques are employed: two bivariate GARCH models (DCC and FIDCC GARCH), two Kalman filter based...

Persistent link: https://www.econbiz.de/10015239740