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International Asset Allocation with Time-Varying Investment Opportunities
Blake, David; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2002
market during the 1990s. To explain this we model portfolio weight dynamics as a function of time-varying conditional moments …. We find that a substantial part of the evolution in portfolio weights is explained by time-varying conditional expected … variables that track time-variations in investment opportunities significantly affects estimates of returns from international …
Persistent link: https://www.econbiz.de/10005662115
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On the Fortunes of Stock Exchanges and Their Reversals: Evidence from Foreign Listings
Fernandes, Nuno; Giannetti, Mariassunta - C.E.P.R. Discussion Papers - 2009
Using a sample that provides unprecedented detail on foreign listings, new listings, and delistings for 29 exchanges in 24 countries starting from the early 1980s, we document a growing tendency of listings to concentrate in the U.S. and the U.K. and large changes in all exchanges’ ability to...
Persistent link: https://www.econbiz.de/10004991544
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The (Bad?) Timing of Mutual Fund Investors
Braverman, Oded; Kandel, Shmuel; Wohl, Avi - C.E.P.R. Discussion Papers - 2005
either by 'behavioural explanations' such as investor sentiment or by 'rational market explanations' that are based on time …
Persistent link: https://www.econbiz.de/10005792057
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Limits of Arbitrage and Corporate Financial Policy
Massa, Massimo; Peyer, Urs; Tong, Zhenxu - C.E.P.R. Discussion Papers - 2005
timing theory, we find more equity issues and increases in investment in response to higher index addition announcement … with the market timing theory of Stein (1996) and supports a ‘limits of arbitrage’ story in which the stocks display a …
Persistent link: https://www.econbiz.de/10005661446
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Internet Cluster Emergence
Quah, Danny - C.E.P.R. Discussion Papers - 1999
Internet development holds the promise of transmitting economic value across physical space at zero marginal cost. In such a 'weightless economy', what factors matter for the location of economic activity and thus for economic development? This paper sketches a model of spatial dynamics over a...
Persistent link: https://www.econbiz.de/10005791414
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Information Acquisition and Portfolio Performance
Guiso, Luigi; Jappelli, Tullio - C.E.P.R. Discussion Papers - 2006
Rational investors perceive correctly the value of financial information. Investment in information is therefore rewarded with a higher Sharpe ratio. Overconfident investors overstate the quality of their own information, and thus attain a lower Sharpe ratio. We contrast the implications of the...
Persistent link: https://www.econbiz.de/10005123525
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Money Illusion and Housing Frenzies
Brunnermeier, Markus K; Julliard, Christian - C.E.P.R. Discussion Papers - 2007
explain a large share of the time-series variation of the mispricing, and that the tilt effect is very unlikely to rationalize …
Persistent link: https://www.econbiz.de/10005067397
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The Real Effects of Investor Sentiment
Polk, Christopher; Sapienza, Paola - C.E.P.R. Discussion Papers - 2003
Does inefficiency of financial markets have real consequences? Or does it only result in transfers of wealth from noise traders to arbitrageurs? We study firm business investment to address this question. In our model, benevolent managers of overvalued companies invest in projects with negative...
Persistent link: https://www.econbiz.de/10005067581
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Do Individual Investors Have Asymmetric Information Based On Work Experience?
Døskeland, Trond; Hvide, Hans K - C.E.P.R. Discussion Papers - 2009
Using a novel and unique dataset from Norway, we analyze whether professional proximity is associated with asymmetric information and abnormal returns. We find that individuals hold an excess weight in stocks that are professionally close. For example, after excluding holdings of own-company and...
Persistent link: https://www.econbiz.de/10005068286
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Hot Markets, Investor Sentiment and IPO Pricing
Ljungqvist, Alexander P.; Nanda, Vikram; Singh, Rajdeep - C.E.P.R. Discussion Papers - 2001
Our model of the initial public offering process links the three main empirical IPO ‘anomalies’ – underpricing, hot issue markets, and long-run underperformance – and traces them to a common source of inefficiency. We relate hot IPO markets (such as the 1999/2000 market for Internet...
Persistent link: https://www.econbiz.de/10005498165