Similar Search Results

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

Comparative Advantage and Unemployment

Bils, Mark - 2010

We model unemployment allowing workers to differ by comparative advantage in market work. Workers with comparative advantage are identified by who works more hours when employed. This enables us to test the model by grouping workers based on their long-term wages and hours from panel data. The...

Persistent link: https://www.econbiz.de/10013152594

Heterogeneity and Cyclical Unemployment

Bils, Mark; Chang, Yongsung; Kim, Sun-Bin - 2021

We model worker heterogeneity in the rents from being employed in a Diamond-Mortensen-Pissarides model of matching and unemployment. We show that heterogeneity, reflecting differences in match quality and worker assets, reduces the extent of fluctuations in separations and unemployment. We find...

Persistent link: https://www.econbiz.de/10013311946

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

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