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Decomposing the U.S. External Returns Differential
Curcuru, Stephanie E. - 2009
We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...
Persistent link: https://www.econbiz.de/10012463572
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Linking Benefits to Investment Performance in US Public Pension Systems
Novy-Marx, Robert - 2012
This paper calculates the effect that introducing risk-sharing during either retirement or the working life would have on public sector pension liabilities. We begin by considering the introduction of a variable annuity for the retirement phase, modeled on the Wisconsin Retirement System, in...
Persistent link: https://www.econbiz.de/10012460169
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Conditional Market Timing with Benchmark Investors
Becker, Connie - 1998
This paper tests models of mutual fund market timing that (1) allow the manager's utility function to depend on returns in excess of a benchmark; (2) distinguish timing based on lagged, publicly available information variables from timing based on finer information; and (3) simultaneously...
Persistent link: https://www.econbiz.de/10012472375
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Anomalies and Market Efficiency
Schwert, G. William - 2002
have weakened or disappeared after the papers that highlighted them were published. At about the same time, practitioners …
Persistent link: https://www.econbiz.de/10012469431
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Evaluating Value Weighting : Corporate Events and Market Timing
Lamont, Owen A. - 2002
time-varying weight in new lists, and one can decompose the market return into a fixed weight return plus a timing return …
Persistent link: https://www.econbiz.de/10012469664
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Tax-Loss Trading and Wash Sales
Grinblatt, Mark - 2002
An analysis of trades in the Finnish stock market around the turn of the year shows that Finnish investors tend to realize losses more than gains towards the end of December. They also buy back the same stocks they recently sold, with a repurchase rate that depends on the size of the capital...
Persistent link: https://www.econbiz.de/10012469970
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Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns
Poterba, James M. - 1998
This paper investigates the effect of specific features of the U.S. capital gains tax on turn-of-the-year stock returns. It focuses on two tax changes. The first, enacted in 1969, reduced the fraction of long-term losses that were deductible from Adjusted Gross Income from 100 percent to 50...
Persistent link: https://www.econbiz.de/10012472195
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Pseudo Market Timing and Predictive Regressions
Baker, Malcolm P. - 2004
to predict stock or bond market returns. Recent research argues that these results may be driven by an aggregate time …
Persistent link: https://www.econbiz.de/10012467866
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No News is News : Do Markets Underreact to Nothing?
Giglio, Stefano - 2013
As illustrated in the tale of "the dog that did not bark," the absence of news and the passage of time often contain … after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete … consistent with a behavioral model of underreaction to the passage of time and cannot be explained by changes in risk or …
Persistent link: https://www.econbiz.de/10012459747
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Jumps in Bond Yields at Known Times
Kim, Don H. - 2014
a time-inhomogenous affine function of the state vector. We apply the model to the term structure of US Treasury rates … much of the time-variation in excess bond returns accrues at times of important macroeconomic data releases …
Persistent link: https://www.econbiz.de/10012457955