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Kacperczyk, Marcin T. - 2011

Mutual fund managers can outperform the market by picking stocks or timing the market successfully. Previous work has … picking skills and little evidence of timing skills among successful managers. This paper estimates skill separately in booms … and recessions and finds that the extent to which managers focus on stock picking or market timing fluctuates with the …

Persistent link: https://www.econbiz.de/10013118131

Dumb Money : Mutual Fund Flows and the Cross-Section of Stock Returns

Frazzini, Andrea - 2010

We use mutual fund flows as a measure for individual investor sentiment for different stocks, and find that high sentiment predicts low future returns at long horizons. Fund flows are dumb money %uF818 by reallocating across different mutual funds, retail investors reduce their wealth in the...

Persistent link: https://www.econbiz.de/10012762427

On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model

Chan, Louis K.C. - 2010

We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...

Persistent link: https://www.econbiz.de/10012763801

Rational Attention Allocation Over the Business Cycle

Kacperczyk, Marcin T. - 2010

The question of whether and how mutual fund managers provide valuable services for their clients motivates one of the … evidence that some investment managers have skill and that attention is allocated rationally …

Persistent link: https://www.econbiz.de/10013150438

Investor Sophistication and Capital Income Inequality

Kacperczyk, Marcin T. - 2014

What contributes to the growing income inequality across U.S. households? We develop an information- based general equilibrium model that links capital income derived from financial assets to a level of investor sophistication. Our model implies income inequality between sophisticated and...

Persistent link: https://www.econbiz.de/10013052134

Trading Costs of Asset Pricing Anomalies

Frazzini, Andrea - 2014

Using nearly a trillion dollars of live trading data from a large institutional money manager across 19 developed equity markets over the period 1998 to 2011, we measure the real-world transactions costs and price impact function facing an arbitrageur and apply them to size, value, momentum, and...

Persistent link: https://www.econbiz.de/10013063478

The Stock Market Valuation of Research and Development Expenditures

Chan, Louis K.C; Lakonishok, Josef; Sougiannis, Theodore - 2021

We examine whether stock prices fully reflect the value of firms' intangible assets, focusing on research and development (R&D). Since intangible assets are not reported on financial statements under current U.S. accounting standards and R&D spending is expensed, the valuation problem may be...

Persistent link: https://www.econbiz.de/10013211643

Betting Against Beta

Frazzini, Andrea - 2010

We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints....

Persistent link: https://www.econbiz.de/10013135232

Embedded Leverage

Frazzini, Andrea - 2012

Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...

Persistent link: https://www.econbiz.de/10013097662