Similar Search Results

Morris, Stephen; Shin, Hyun Song - School of Management, Yale University - 2004

run are generated. A "liquidity black hole" is the analogue of the run outcome in a bank run model. Short horizon traders … liquidity black hole comes into existence. Empirical implications include the sharp V-shaped pattern in prices around the time … of the liquidity black hole. …

Persistent link: https://www.econbiz.de/10005368998

Stock Market as a 'Beauty Contest': Investor Beliefs and Price Bubbles sans Dividend Anchors

Hirota, Shinichi; Sunder, Shyam - School of Management, Yale University - 2002

We experimentally explore if the absence of dividend anchors (from which investors can backward induct to arrive at the fundamental value) may help us understand the formation of security price bubbles. The fundamental value models assume that the investors (a) form rational expectations,(b)...

Persistent link: https://www.econbiz.de/10005368985

Why Do Individual Investors Hold Under-Diversified Portfolios?

GOETZMANN, WILLIAM N.; KUMAR, ALOK - School of Management, Yale University - 2005

This study examines the diversification decisions of more than 60,000 individual investors during a six year period (1991-96) in recent U.S. capital market history. The majority of investors in our sample are under-diversified and the extent of under-diversification is more severe in retirement...

Persistent link: https://www.econbiz.de/10005368993

Empirical Performance of Alternative Option Pricing Models

Cao, Charles Quanwei; Bakshi, Gurdip S.; Chen, Zhiwu - School of Management, Yale University - 1997

generalized feature will improve option pricing and hedging performance. This paper fills this gap by first developing an …-of-sample pricing and (3) hedging performance. The models of focus include the benchmark Black-Scholes formula and the ones that …) stochastic volatility and jumps.Overall, incorporating both stochastic volatility and random jumps produces the best pricing …

Persistent link: https://www.econbiz.de/10005369017

What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?

Moskowitz, Tobias J.; Grinblatt, Mark - School of Management, Yale University - 2002

Multihorizon temporal relationships between stock returns are complex due to confounding sources of return premia, microstructure effects, and changes in the relationship over various horizons. We find the relation to be further complicated by the sign and consistency of the past return that...

Persistent link: https://www.econbiz.de/10005147073

Corporate Governance, Expected Operating Performance, and Pricing

Fuerst, Oren; Kang, Sok-Hyon - School of Management, Yale University - 1998

We examine whether ownership and governance characteristics are associated with the firm s operating performance and stock price. We hypothesize that while ownership structure and governance mechanisms impact the firm's operating performance, they can also impact stakeholders abilities to...

Persistent link: https://www.econbiz.de/10005178453

The Disposition Effect and Momentum

Han, Bing NMI1; Grinblatt, Mark - School of Management, Yale University - 2001

The tendency of some investors to hold on to their losing stocks creates a spread between a stock's fundamental value and its equilibrium price, as well as price underreaction to information. Spread convergence, arising from the random evolution of fundamental values and updating of reference...

Persistent link: https://www.econbiz.de/10005178461

Monotone Preferences Over Information

Dubra, Juan; Echenique, Federico - School of Management, Yale University - 2004

We consider preference relations over information that are monotone: more information is preferred to less. We prove that, if a preference relation on information about an uncountable set of states of nature is monotone, then it is not representable by a utility function.

Persistent link: https://www.econbiz.de/10005178463

The Significance of the Market Portfolio

Shiller, Robert J.; Athanasoulis, Stefano - School of Management, Yale University - 2001

Arguments for creating a market to allow trading the portfolio of all endowments in the entire world, the "market portfolio," are considered. This world share market would represent a radical innovation, since at the present time only a small fraction of world endowments are traded. Using a...

Persistent link: https://www.econbiz.de/10005748788

Empirical Performance of Alternative Option Pricing Models

Cao, Charles Quanwei; Bakshi, Gurdip S.; Chen, Zhiwu - School of Management, Yale University - 1997

each generalized feature will improve option pricing and hedging performance. This paper fills this gap by first developing …-series data, (2) out-of-sample pricing and (3) hedging performance. The models of focus include the benchmark Black … produces the best pricing performance and the most internally-consistent implied-volatility process. Its implied volatility …

Persistent link: https://www.econbiz.de/10005586865