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Investor's Demographics and Portfolio Objectives : An Empirical Study Using Factor Analysis

Agarwal, Saurabh - 2017

Demographics affect Investor's psychology thereby affecting portfolio choices made by investors. In a survey of 512 retail investors, it was found that Risk bearing capability affects choice amongst portfolio objectives most and Years to Retirement influences this choice least. “R” factor...

Persistent link: https://www.econbiz.de/10012953113

Unraveling the value premium : a reward for risk or mispricing?

Serur, Claudio E.; Siri, Julián R.; Serur, Juan Andrés; … - 2019

A value investing strategy consists of purchasing stocks relatively undervalued to their funda-mental values and selling those relatively overvalued. Finding this kind of companies has been one of the most challenging goals for investors throughout the history. The main objective of this paper...

Persistent link: https://www.econbiz.de/10012125294

Vulnerable asset management? : the case of mutual funds

Fricke, Christoph; Fricke, Daniel - 2017

funds’ vulnerability to systemic asset liquidations, highlighting the importance of funds’ liquidity transformation …. Therefore, regulators should monitor structural vulnerabilities in the fund sector arising through liquidity transformation. …

Persistent link: https://www.econbiz.de/10011740280

How fears index and liquidity affect returns of ivol puzzle before and during the Covid-19 pandemic

Khoa Dang Duong; Man Minh Tran; Diep Van Nguyen; Hoa … - In: Cogent economics & finance 10 (2022) 1, pp. 1-17

This study examines the impacts of investor sentiment and liquidity on the idiosyncratic volatility (IVOL) anomaly … in Vietnam after controlling for FEARS sentiment index and liquidity proxies. Our findings document the persistence of … contribute new evidence of how the FEARS index and liquidity help explain the IVOL puzzle before and during the pandemic. Our …

Persistent link: https://www.econbiz.de/10013373164

Flights to Safety

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...

Persistent link: https://www.econbiz.de/10011506750

Portfolio Dynamics and Expected Returns Under Illiquidity

Buchner, Axel - 2015

market risk, whereas the second term can be interpreted as a required compensation for a form of liquidity risk. This … required compensation for liquidity risk increases linearly with the covariance between the proportion invested illiquid in the …

Persistent link: https://www.econbiz.de/10013030411

Disposition Sales and Stock Market Liquidity

Choi, Darwin - 2019

I examine the impact of the V-shaped disposition effect, which results in uninformed sales when investors realize large gains and losses. Adverse selection risk is reduced in the presence of more uninformed sales. I show in a model that market makers should post tighter bid-ask spreads and quote...

Persistent link: https://www.econbiz.de/10012905858

Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity

Ma, Yiming; Xiao, Kairong; Zeng, Yao - 2021

asset markets during the Covid-19 crisis. We show that mutual fund liquidity transformation led to pronounced investor … purchase of illiquid securities effectively stabilized mutual fund liquidity transformation and alleviated the selling pressure …

Persistent link: https://www.econbiz.de/10013235984

Illiquid Asset Investing

Ang, Andrew - 2013

After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio...

Persistent link: https://www.econbiz.de/10013088632

Positional Momentum and Liquidity Management; A Bivariate Rank ApproachTitle

Panahidargahloo, Akram - 2019

This paper develops a new positional momentum management strategy and introduces a new positional liquidity management … momentum portfolio. Moreover, the positional liquidity portfolios are shown to produce even higher average and cumulative …

Persistent link: https://www.econbiz.de/10012897199