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RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence

Cong, Lin William; George, Nathan Darden; Wang, Guojun - National Bureau of Economic Research - 2023

returns after adjusting for common factors. The value-price-divergence (VPD) factor constructed from the average returns of … these portfolios within small and big stocks is not spanned by these known factors. Max Sharpe ratio and constrained R …, momentum, and size factors outperforms most extant benchmarks in explaining the cross-section of expected equity returns. The …

Persistent link: https://www.econbiz.de/10014226164

Asset Pricing with Optimal Under-Diversification

Elenev, Vadim; Landvoigt, Tim - National Bureau of Economic Research - 2023

We study sources and implications of undiversified portfolios in a production-based asset pricing model with financial frictions. Households take concentrated positions in a single firm exposed to idiosyncratic shocks because managerial effort requires equity stakes, and because investors gain...

Persistent link: https://www.econbiz.de/10014250139

Finance in a Time of Disruptive Growth

Garleanu, Nicolae; Panageas, Stauros - National Bureau of Economic Research - 2024

We propose a unified theory of asset price determination encompassing both "conventional" and "alternative" asset …

Persistent link: https://www.econbiz.de/10014512038

Dollar Asset Holdings and Hedging Around the Globe

Du, Wenxin; Huber, Amy W. - National Bureau of Economic Research - 2024

We analyze a large number of industry- and company-level filings of global institutional investors to provide the first comprehensive estimate of foreign investors' U.S. dollar (USD) security holdings and currency hedging practices. We document four stylized facts. First, driven by increasing...

Persistent link: https://www.econbiz.de/10014544731

What Drives Investors' Portfolio Choices? Separating Risk Preferences from Frictions

Choukhmane, Taha; De Silva, Tim - National Bureau of Economic Research - 2024

We study the role of risk preferences and frictions in portfolio choice using variation in 401(k) default options. Patterns of active choice in response to different default funds imply that, absent participation frictions, 94% of investors prefer holding stocks, with an equity share of...

Persistent link: https://www.econbiz.de/10014544754

The Law of Small Numbers in Financial Markets : Theory and Evidence

Jin, Lawrence J.; Peng, Cameron - National Bureau of Economic Research - 2024

We build a model of the law of small numbers (LSN)--the incorrect belief that even small samples represent the properties of the underlying population--to study its implications for trading behavior and asset prices. In our model, a belief in the LSN induces investors to expect short-term price...

Persistent link: https://www.econbiz.de/10014544796

Emotions and Subjective Crash Beliefs

Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2024

Over the past two decades, respondents to the Shiller Investor Confidence Surveys assess the probability of a catastrophic stock market crash to be much higher that the historical frequency of such events. We decompose these crash probabilities into fundamental and subjective components and use...

Persistent link: https://www.econbiz.de/10014576618

Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery

Barberio, Joseph; Becraft, Jacob; Ben Chaouch, Zied; … - National Bureau of Economic Research - 2022

We analyze the financial performance of a hypothetical portfolio of 120 mRNA vaccine candidates in the preclinical stage targeting 11 emerging infectious diseases. We calibrate the simulation parameters with input from domain experts in mRNA technology and an extensive literature review. We find...

Persistent link: https://www.econbiz.de/10013334345

Crash Narratives

Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2022

The financial press is a conduit for popular narratives that reflect collective memory about historical events. Some collective memories relate to major stock market crashes, and investors may rely on associated narratives, or "crash narratives," to inform current beliefs and choices. Using...

Persistent link: https://www.econbiz.de/10013334413

Target Retirement Fund : A Variant on Target Date Funds that uses Deferred Life Annuities rather than Bonds to Reduce Risk as Retirement Approaches

Shoven, John B.; Walton, Daniel - National Bureau of Economic Research - 2023

This paper evaluates a new variant of the popular target date funds used in employer-based retirement savings plans. We call this new variant a "target retirement plan." Instead of increasing the allocation to bond funds as retirement approaches, a target retirement fund gradually purchases...

Persistent link: https://www.econbiz.de/10013537711

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