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Long-horizon asset and portfolio returns revisited : evidence from US markets
Tri Hoang - In: Cogent business & management 10 (2023) 2, pp. 1-16
This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...
Persistent link: https://www.econbiz.de/10014503297
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GHAUS asset allocation
Estrada, Javier - In: The journal of asset management 17 (2016) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10011485122
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Idiosyncratic asset return and wage risk of US households
Snudden, Stephen - 2025
Persistent link: https://www.econbiz.de/10015398387
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Idiosyncratic asset return and wage risk of US households
Snudden, Stephen - 2024
Persistent link: https://www.econbiz.de/10015049105
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Wealth Fluctuations and Risk Preferences : Evidence from U.S. Investor Portfolios
Meeuwis, Maarten - 2020
with human capital and constant risk aversion, the portfolio responses to these two wealth shocks should be of equal … magnitude and opposite sign. The positive net effect in the data is evidence for risk aversion that decreases in total wealth. I … matches the reduced-form estimates with a significant degree of non-homotheticity in risk preferences, such that a 10 …
Persistent link: https://www.econbiz.de/10012828151
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Essays on individual risk-taking behavior and social security reform
Ranguelova, Elena - 2001
Persistent link: https://www.econbiz.de/10001717973
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Absolute Momentum, Sustainable Withdrawal Rates and Glidepath Investing in US Retirement Portfolios From 1925
Clare, Andrew D. - 2019
A significant part of the development in pension provision in many countries is the emergence of ‘Target Date Funds' or TDFs. In this paper we examine the proposition of de-risking through life and the guidance offered by TDFs in the decumulation phase following retirement. We investigate the...
Persistent link: https://www.econbiz.de/10012889289
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Investing in U.S. Sectors : Mutual Funds vs. ETFs
Fan, Yuhong - 2019
This paper examines performance of 95 actively managed U.S. sector equity mutual funds from 29 fund families relative to their peer exchange-traded funds, SPDR sector ETFs, in the period of 2008 to 2017. Our results do not show considerable evidence that actively managed sector mutual funds...
Persistent link: https://www.econbiz.de/10012858110
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Momentum investing : evidence from the US tourism and hospitality
Shaker Ahmed, Mohamed - In: European journal of management and business economics : … 31 (2022) 3, pp. 269-284
Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality sector. Design/methodology/approach - The paper followed the methodology of Jegadeesh and Titman (1993) to construct the portfolios. In this methodology, all portfolios were...
Persistent link: https://www.econbiz.de/10013330980
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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2018
power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …
Persistent link: https://www.econbiz.de/10012913073