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The Long of it : Odds that Investor Sentiment Spuriously Predicts Anomaly Returns

Stambaugh, Robert F. - 2012

Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu and Yuan (2012), who find higher long-short...

Persistent link: https://www.econbiz.de/10013103525

Portfolio Diversification Dynamics of Individual Investors : A New Measure of Investor Sentiment

Roger, Patrick - 2012

We build a new measure of investor sentiment only based on changes in diversification levels of individual investors' portfolios. The dynamics of the number of different stocks in portfolios is modelized as a Markov chain. We measure investor sentiment as the area above the cumulative...

Persistent link: https://www.econbiz.de/10013105067

Inflation Tracking Portfolios

Downing, Chris - 2012

We propose a new approach to constructing inflation tracking portfolios. The key to this approach is the insight that asset returns track expected inflation far better than they track current realized inflation. Thus, we can construct portfolios that track next month's inflation much more...

Persistent link: https://www.econbiz.de/10013105462

The Financial Performance and Investment Style of French Ethical Funds

Saadaoui, Khaled - 2012

Following the literature about Socially Responsible Investment performance, the purpose of this paper is to study the … investment style and the performance of French ethical funds from January 1994 to January 2007. The performance measurement aims … cap bias, already found in previous studies. However, no clear investment strategy, with regard to growth or value stocks …

Persistent link: https://www.econbiz.de/10013105523

Testing Portfolio Efficiency with Conditioning Information

Ferson, Wayne E. - 2010

We develop asset pricing models' implications for portfolio efficiency with conditioning information in the form of lagged instruments. A model identifies a portfolio that should be minimum-variance efficient with respect to the conditioning information. Our framework refines tests of portfolio...

Persistent link: https://www.econbiz.de/10013152454

Capturing Market Returns : Taking an X-Ray of Your Money Manager

Beaudan, Patrick - 2013

return characteristics of investment opportunities. In this paper, we review how up and down market capture statistics are … past investment performance and deduce what may be relevant questions for the future …

Persistent link: https://www.econbiz.de/10013081926

Mutual Funds Win and Investors Lose

Haslem, John A. - 2013

This study provides in-depth coverage of important findings surrounding the question of why investors continue to buy underperforming actively managed mutual funds. This issue is complicated by the finding active managers have skill that allows them to add fund value, but which is not shared...

Persistent link: https://www.econbiz.de/10013090657

The Long of It : Odds That Investor Sentiment Spuriously Predicts Anomaly Returns

Stambaugh, Robert F. - 2014

Persistent link: https://www.econbiz.de/10013065851

Active Portfolio Management - How to Beat the Index Funds

Ferguson, Robert - 2013

An idealized model of the investment process redefines the respective roles of security analysts and portfolio managers …

Persistent link: https://www.econbiz.de/10013073047

Stock Investments for Old-Age : Less Return, More Risk, and Unexpected Timing

Ulbricht, Dirk - 2013

Returns merely based on one purchasing price of an asset are uninformative for people regularly contributing to their old-age provision. Here, each purchase has an influence on the outcome. Still, they are commonly used in finance literature, giving an overly optimistic view of expected...

Persistent link: https://www.econbiz.de/10013075966