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Destabilizing financial advice : evidence from pension fund reallocations

Da, Zhi; Larrain, Borja; Sialm, Clemens; Tessada, José A. - In: The review of financial studies 31 (2018) 10, pp. 3720-3755

Persistent link: https://www.econbiz.de/10011927880

Are analyst trade ideas valuable?

Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, René M. - 2019

Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...

Persistent link: https://www.econbiz.de/10012120228

Asset price effects of peer benchmarking : evidence from a natural experiment

Acharya, Sushant; Pedraza, Alvaro - 2015

component of demand that is caused by peer benchmarking. We find that these peer effects generate excess stock return volatility …

Persistent link: https://www.econbiz.de/10010514042

Liquidity Shocks and Pension Fund Performance : Evidence From the Early Release Scheme

Brugler, James; Kim, Minsoo; Zhong, Zhuo - 2021

We study how expectations of fund flows causally affect fund performance by exploiting a quasi-natural experiment in the Australian pension system where an unexpected policy change temporarily allowed fund withdrawals from a pre-specified date in the future. Using fractions of young members,...

Persistent link: https://www.econbiz.de/10013251091

Do Arbitrageurs Really Avoid High Idiosyncratic Risk Stocks?

Ben-David, Itzhak - 2011

It is widely believed that stocks with high idiosyncratic risk exhibit stronger anomalies because arbitrageurs avoid holding these stocks due to diversification concerns, allowing deviations of prices from fundamental values. In this paper we test this proposition using hedge fund holding data....

Persistent link: https://www.econbiz.de/10013133780

High-Frequency Trading, Stock Volatility, and Price Discovery

Zhang, Frank - 2010

trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery …. I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm … fundamental volatility and other exogenous determinants of volatility. The positive correlation is stronger among the top 3 …

Persistent link: https://www.econbiz.de/10013137079

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies

Petukhina, Alla - 2020

study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of …

Persistent link: https://www.econbiz.de/10012838218

Fraudulent Role of nFTK(2007) in Pension Funds Evaluation

Nagornii, Sergey - 2012

This paper shows that the new financial regulation introduced in 2007 in the Netherlands, the so-called nieuw Financieel Toetsings Kader (nFTK), has several basic flaws. The nFTK evaluation cannot be trusted. The results are misleading and must not be used for policy decisions. 'Funding...

Persistent link: https://www.econbiz.de/10013108955

Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance

Ferson, Wayne E. - 2003

Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...

Persistent link: https://www.econbiz.de/10014023859

Steadfast, Greedy, or Fearful? Strategies for Responding to Extreme Market Volatility

White, James - 2020

March 2020 packed 2 ½ years of normal U.S. stock market volatility into one month, making it the most volatile month on … respond to such volatility? In this article we explore four possible approaches, two long-term and two short-term in nature …. We give particular focus to Volatility Targeting and Momentum strategies, discussing the investor behavior that might …

Persistent link: https://www.econbiz.de/10012832242