the same time nearly as “lazy” with respect to trading and turnover (on average one trading month per year) …

fund's forced trading through investor flows. We conclude that fund managers voluntarily attempt to time risk factors, but …

. However, these measures do not characterize the dynamic component of investor activity, nor do they consider the time horizons … component that captures the manager's timing ability across a range of time horizons. Our framework can be universally applied …

investor flows. We conclude that fund managers voluntarily attempt to time factors, but they are unsuccessful at doing so. …

This paper presents a model that uses time series momentum in order to construct strategies that systematically …

expected investment whenever the return on equity is large enough. We label this prediction the wealth creation effect. The … returns controlling for the usual characteristics. A wealth creation factor earns a premium of about 24bps per month leading …

We develop a structural econometric model to elicit household-specific expectations about future financial asset …. Our framework assumes that household portfolios are subject to short-selling constraints in stocks and bonds, and that … financial investment decisions are taken conditional on real estate and business wealth. We derive an explicit solution for the …