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Cash-Flow Timing vs. Discount-Rate Timing : An Examination of Mutual Fund Market-Timing Skills

Lan, Chunhua - 2019

We measure the ability of professional investment managers in timing cashflow vs. discount-rate news, the two … components of market returns. We find that the average U.S. equity mutual fund exhibits cashflow-timing skills of 2.12/year, but … discount-rate timing of -0.84/year; further, cashflow-timing skills (but not discount-rate timing skills) strongly persist over …

Persistent link: https://www.econbiz.de/10012903952

Fight or flight? : Portfolio rebalancing by individual investors

Calvet, Laurent E.; Campbell, John Y.; Sodini, Paolo - 2008

"This paper investigates the dynamics of individual portfolios in a unique dataset containing the disaggregated wealth of all households in Sweden. Between 1999 and 2002, we observe little aggregate rebalancing in the financial portfolio of participants. These patterns conceal strong...

Persistent link: https://www.econbiz.de/10003740410

Down or out : assessing the welfare costs of household investment mistakes

Calvet, Laurent E. (contributor); … - 2006

This paper investigates the efficiency of household investment decisions in a unique dataset containing the disaggregated wealth and income of the entire population of Sweden. The analysis focuses on two main sources of inefficiency in the financial portfolio: underdiversification of risky...

Persistent link: https://www.econbiz.de/10003319550

Mutual fund investment horizon and performance

Lan, Chunhua; Moneta, Fabio; Wermers, Russ - 2015

This paper proposes several new holdings-based measures of fund investment horizon, and examines the relation between manager skills and fund holding horizon. We find that both aggregate holdings and trades of long-horizon funds are informative about superior future long-term stock returns,...

Persistent link: https://www.econbiz.de/10011307799

Family status, social security claiming options, and life cycle portfolios

Hubener, Andreas; Maurer, Raimond; Mitchell, Olivia S. - 2014

Social Security rules that determine retirement, spousal, and survivor benefits, along with benefit adjustments according to the age at which these are claimed, open up a complex set of financial options for household decisions. These rules influence optimal household asset allocation,...

Persistent link: https://www.econbiz.de/10010471816

Down or out : assessing the welfare costs of household investment mistakes

Calvet, Laurent E.; Campbell, John Y.; Sodini, Paolo - 2006

Persistent link: https://www.econbiz.de/10003288857

Asset pricing at the millennium

Campbell, John Y. - 2000

Persistent link: https://www.econbiz.de/10001459128

Uncommon Value : The Characteristics and Investment Performance of Contrarian Funds

Wei, Kelsey D. - 2012

Theories of herding behavior predict that only investors with sufficiently precise private information or those most overconfident will deviate from the crowd. Using portfolio holdings, this paper identifies contrarian funds as those pursuing distinctive investment strategies, i.e., as those...

Persistent link: https://www.econbiz.de/10013107486

Ambiguity Aversion and Household Portfolio Choice : Empirical Evidence

Dimmock, Stephen G. - 2013

We test the relation between ambiguity aversion and five household portfolio choice puzzles: non- participation, low allocations to equity, home-bias, own-company stock ownership, and portfolio under- diversification. In a representative U.S. household survey, we measure ambiguity aversion using...

Persistent link: https://www.econbiz.de/10013087877

Simplifying Choices in Defined Contribution Retirement Plan Design

Keim, Donald B. - 2016

In view of the growth and popularity of defined contribution pensions, along with the government's growing attention to retirement plan costs and investment choices provided, it is important to understand how people select their retirement plan investments. This paper shows how employees in a...

Persistent link: https://www.econbiz.de/10013001774

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