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Three Essays on Momentum Returns
Cheema, Muhammad A. - 2015
Persistent link: https://www.econbiz.de/10013034818
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Fund flows inducing mispricing of risk in competitive financial markets
Stahmer, Axel - 2015
This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...
Persistent link: https://www.econbiz.de/10011389297
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Consumption Risk and the Cross-Section of Expected Returns
Julliard, Christian; Parker, Jonathan A. - 2005
This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (CCAPM) that an asset …'s expected return is determined by its equilibrium risk to consumption. Rather than measure the risk of a portfolio by the … contemporaneous covariance of its return and consumption growth - as done in the previous literature on the CCAPM and the pattern of …
Persistent link: https://www.econbiz.de/10014067851
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Is Personal Savings Rate Priced in the Cross-section of Stock Returns?
Ince, Baris - 2020
Consumption-CAPM literature …
Persistent link: https://www.econbiz.de/10012843223
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Portfolio Creation Using Markowitz's Portfolio Selection Model Involving Equities, Commodities and Bonds in Indian Securities Market
Agarwal, Saurabh - 2016
Equities tend to give high returns accompanied with high risk level. Commodities exhibit similar nature but exhibit inverse return movements compared to equities. Although, Equities and Commodities have risk- return parity, the volume traded in commodities is much larger and have longer trading...
Persistent link: https://www.econbiz.de/10012990885
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The Cross-Section of Equity Returns and Assets’ Fundamental Cash-Flow Risk
Galsband, Victoria - 2011
The decomposition of consumption beta into a component driven by assets' cash-flow news and one related to assets …, especially consumption-related risks. This result holds true for a broad set of consumption-based asset pricing models. In …-flow components to the cyclical variability of durable consumption goods …
Persistent link: https://www.econbiz.de/10013132049
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Individual Investor Portfolio Performance in Retirement Savings Accounts
Gan, Su (Sally) - 2013
interest to policy makers given the tax concessions that retirement savings attract in the expectation that successfully …
Persistent link: https://www.econbiz.de/10013082791
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Stock Loan Lotteries and Individual Investment Performance
Moore, Jordan - 2017
Individual investors trade excessively, sell winners too soon, and overweight stocks with lottery features and low expected returns. This paper models a financial innovation to address these biases and improve individual investor performance. Individual investors pledge shares of stock to an...
Persistent link: https://www.econbiz.de/10012965366
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Stock loan lotteries and individual investor performance
Moore, Jordan - 2017
Individual investors trade excessively, sell winners too soon, and overweight stocks with lottery features and low expected returns. This paper proposes and models a financial innovation, called stock loan lotteries, that improves individual investor performance. An individual investor signs a...
Persistent link: https://www.econbiz.de/10011800598
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Betting Against Beta or Demand for Lottery
Bali, Turan G. - 2018
Frazzini and Pedersen (2014) document that a betting against beta strategy that takes long positions in low-beta stocks and short positions in high-beta stocks generates a large abnormal return of 6.6% per year and they attribute this phenomenon to funding liquidity risk. We demonstrate that...
Persistent link: https://www.econbiz.de/10012937830