Showing 1 - 10 of 25
We propose a statistical model of differences in beliefs in which heterogeneous investors are represented as different machine learning model specifications. Each investor forms return forecasts from their own specific model using data inputs that are available to all investors. We measure...
Persistent link: https://www.econbiz.de/10014340974
Hedge funds' extensive use of derivatives, short-selling, and leverage and their dynamic trading strategies create significant non-normalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge...
Persistent link: https://www.econbiz.de/10013106751
Hedge funds' extensive use of derivatives, short-selling, and leverage and their dynamic trading strategies create significant non-normalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge...
Persistent link: https://www.econbiz.de/10013106936
We introduce a measure of regret for stock market investors and investigate its cross-sectional asset pricing implications. We propose a theoretical framework in which investors experience regret due to not achieving the highest possible return in the same industry with their stock investment,...
Persistent link: https://www.econbiz.de/10013221025
Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this puzzling result that the anomalous negative...
Persistent link: https://www.econbiz.de/10013240163
We propose a belief-generating model from which we build a statistical measure of investor disagreement. We simulate differences in beliefs across investors by endowing them with different machine learning models for forecasting returns from the same set of inputs. We measure disagreement as the...
Persistent link: https://www.econbiz.de/10013298797
This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk associated with each factor is common across countries....
Persistent link: https://www.econbiz.de/10013116715
We test the hypothesis that retail investors' attraction to lottery stocks induces overvaluation, and is amplified by high attention and social interactions. The lottery premium (negative abnormal returns) is stronger for high-retail-ownership stocks—especially those that also have high...
Persistent link: https://www.econbiz.de/10012891568
We find that among stocks dominated by retail investors, the lottery anomaly is amplified by high investor attention (proxied by high analyst coverage, salient earnings surprises, or recency of extreme positive returns) and intense social interactions (proxied by Facebook social connectedness or...
Persistent link: https://www.econbiz.de/10012794571
We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the price of the underlying stock...
Persistent link: https://www.econbiz.de/10013111682