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A Multivariate Model of Strategic Asset Allocation

Campbell, John Y. - 2001

Much recent work has documented evidence for predictability of asset returns. We show how such predictability can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption their wealth can support. We develop an approximate solution method...

Persistent link: https://www.econbiz.de/10012470152

Econometric Models of Limit-Order Executions

Lo, Andrew W. - 1997

This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...

Persistent link: https://www.econbiz.de/10012472554

Diversification, Integration and Emerging Market Closed-End Funds

Bekaert, Geert - 1995

Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from … emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits … significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to …

Persistent link: https://www.econbiz.de/10012473908

Investor Diversification and International Equity Markets

French, Kenneth R. - 1991

The benefits of international diversification have been recognized for decades. In spite of this, most investors hold … domestic equity market to be several hundred basis points higher than returns in other markets. This lack of diversification …

Persistent link: https://www.econbiz.de/10012475411

Trading Volume Alpha

Goyenko, Ruslan; Kelly, Bryan T.; Moskowitz, Tobias J.; … - National Bureau of Economic Research - 2024

Portfolio optimization focuses on risk and return prediction, yet implementation costs critically matter. Predicting trading costs is challenging because costs depend on trade size and trader identity, thus impeding a generic solution. We focus on a component of trading costs that applies...

Persistent link: https://www.econbiz.de/10015094879

Asset Embeddings

Gabaix, Xavier; Koijen, Ralph S. J.; Richmond, Robert J.; … - National Bureau of Economic Research - 2025

Firm characteristics, based on accounting and financial market data, are commonly used to represent firms in economics and finance. However, investors collectively use a much richer information set beyond firm characteristics, including sources of information that are not readily available to...

Persistent link: https://www.econbiz.de/10015398104

How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de/10013362020

Regulating the Direction of Innovation

Gans, Joshua - National Bureau of Economic Research - 2024

in resource allocation across research paths, challenging common intuitions about diversification. These insights have …

Persistent link: https://www.econbiz.de/10014635704

Volatility Managed Portfolios

Moreira, Alan - 2016

average returns. This rules out typical risk-based explanations and is a challenge to structural models of time …

Persistent link: https://www.econbiz.de/10012456467

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