Similar Search Results

Models or Stars : The Role of Asset Pricing Models and Heuristics in Investor Risk Adjustment

Evans, Richard B. - 2018

-adjusted performance ranking of all US equity funds and highly correlated to CAPM alphas. After the change, the ranking was calculated …'s correlation to Fama-French (FF3) alphas. Flows strongly correlate with CAPM alphas before the change, but are strongly related to … strongly correlate with FF3 before and after the change, but are unrelated to CAPM. Over the broader time period, we find …

Persistent link: https://www.econbiz.de/10012907676

Consumption-Based Asset Pricing with Herd Behavior

Curatola, Giuliano - 2012

This paper analyzes the link between herd behavior and asset prices in a multi-good pure-exchange economy where investors' preferences evolve over time in response to the consumption decisions of other investors. More precisely, the rule of updating preferences incorporates a bandwagon effect,...

Persistent link: https://www.econbiz.de/10013105266

Stock-Market Prices with Forgetful Investors

Nocetti, Diego - 2009

This note investigates the impact of investors' memory limitations on stock-market prices. I consider a simple asset-pricing model in which investors allocate limited cognitive resources to retrieve information from memory and to learn about the data generating process of multiple assets. I show...

Persistent link: https://www.econbiz.de/10013156147

Retail Investor Recognition and the Cross Section of Stock Returns

Chang, Eric C. - 2013

We test and offer support to Merton's (1987) theory that difference in a stock's investor recognition affects its cost of capital. In the U.S. market, using the breadth of ownership among retail investors as a proxy for investor recognition, we show that a long-short portfolio based on the...

Persistent link: https://www.econbiz.de/10013091678

Are Mutual Fund Investors Paying for Noise?

Casavecchia, Lorenzo - 2015

We demonstrate that advisory fees exhibit a positive concave dependence on the idiosyncratic volatilities of mutual fund returns. Our theoretical analysis attributes this to the impact of idiosyncratic noise on performance opacity, coupled with the infeasibility of short-selling mutual fund...

Persistent link: https://www.econbiz.de/10013026366

Hindsight, foresight, and insight: an experimental study of a small-market investment game with common and private values

Ivanov, Asen; Levin, Dan; Peck, James - In: The American economic review 99 (2009) 4, pp. 1484-1507

Persistent link: https://www.econbiz.de/10003896769

Breaking Echo Chambers with Personalized News

Wu, Jiemai; Nachbar, John H. - 2023

When a news platform such as Google News or Apple News selects personalized news for its user, will it select news that conforms to its user's bias, thus creating an “echo chamber”? To answer this question, this paper studies a game between a click-maximizing platform and a rational user who...

Persistent link: https://www.econbiz.de/10014357010

Optimal Trading in Correlated Anomalies

Sotes-Paladino, Juan M. - 2017

The empirical asset pricing literature documents a myriad of anomalies. Accounting for the correlated and mean-reverting nature of these anomalies, I provide an explicit solution to the optimal dynamic investment problem of a risk-averse investor who trades in an arbitrary number of potentially...

Persistent link: https://www.econbiz.de/10012948516

Appetite for Information in Mandatory Profiling of Individual Investors

Bellofatto, Anthony - 2017

Financial knowledge and the investment in information of retail investors have been under scrutiny on the side of regulators and of academics. Actually, increasing financial literacy of individuals is one of the promising avenues in order to increase financial markets participation. In this...

Persistent link: https://www.econbiz.de/10012955741

An Extreme Firm-Specific News Sentiment Asymmetry Based Trading Strategy

Song, Qiang - 2015

News sentiment has been empirically observed to have impact on financial market returns. In this study, we investigate firm-specific news from the Thomson Reuters News Analytics data from 2003 to 2014 and propose an optimal trading strategy based on a sentiment shock score and a sentiment trend...

Persistent link: https://www.econbiz.de/10013019322