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We model how investors allocate between asset managers, managers choose their portfolios of multiple securities, fees are set, and security prices are determined. The optimal passive portfolio is linked to the “expected market portfolio,” while the optimal active portfolio has elements of...
Persistent link: https://www.econbiz.de/10012851298
Barber and Odean (2000) study the relationship between trading frequency andreturns. They find that households who trade more frequently have a lower net return than other households. But all households have about the same gross return. They argue that these results cannot emerge from a model...
Persistent link: https://www.econbiz.de/10013143172
Persistent link: https://www.econbiz.de/10003974947
Barber and Odean (2000) study the relationship between trading frequency andreturns. They find that households who trade more frequently have a lower net return than other households. But all households have about the same gross return. They argue that these results cannot emerge from a model...
Persistent link: https://www.econbiz.de/10012462631
Barber and Odean (2000) find that households who trade more have a lower net return than others and attribute this pattern to irrationality, particularly overconfidence. In contrast, we find that household financial choices generated from a dynamic optimization problem with rational agents and...
Persistent link: https://www.econbiz.de/10012869809
Barber and Odean study the relationship between trading activity and returns. They find that households who trade more have a lower net return than other households. They argue that these results cannot emerge from a model with rational traders and instead attribute these findings to...
Persistent link: https://www.econbiz.de/10012479787
Persistent link: https://www.econbiz.de/10012028264
"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...
Persistent link: https://www.econbiz.de/10009558371
This paper examines whether monetary policy affects the portfolio decisions of U.S. households. Contrary to the conventional wisdom, interest rate increases are related to higher equity ownership and higher wealth allocations to risky assets. Inflation hedging is a likely explanation for these...
Persistent link: https://www.econbiz.de/10014351439
conventional procedures that do not incorporate the information in the high-frequency intraday data and/or the similarities in the …
Persistent link: https://www.econbiz.de/10012970195