Similar Search Results

Diversification Decisions of Individual Investors and Asset Prices

Kumar, Alok; Goetzmann, William N. - School of Management, Yale University - 2003

idiosyncratic risk in their portfolios results in a welfare loss - the least diversified group of investors earn 2.40% lower return … annually than the most diversified group of investors on a risk-adjusted basis. Next, we examine the determinants of investors … excess return of 7.44% on a risk-adjusted basis. Furthermore, this factor has power to explain the cross-sectional variation …

Persistent link: https://www.econbiz.de/10005586934

Equity Portfolio Diversification

Goetzmann, William N.; Kumar, Alok - School of Management, Yale University - 2004

In this paper we examine the portfolios of more than 40,000 equity investment accounts from a large discount brokerage during a six year period (1991-96) in recent U.S. capital market history. Using the historical performance for the equities in these accounts, we find that a vast majority of...

Persistent link: https://www.econbiz.de/10005587128

Equity Portfolio Diversification

Kumar, Alok; Goetzmann, William N. - School of Management, Yale University - 2001

Persistent link: https://www.econbiz.de/10005587147

Liquidity Black Holes

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

Traders with short horizons and privately known trading limits interact in a market for a risky asset. Risk …

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

idiosyncratic risk in investors' portfolios results in a welfare loss. …

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

Substantial progress has been made in extending the Black-Scholes model to incorporate such features as stochastic volatility, stochastic interest rates and jumps.On the empirical front, however, it is not yet known whether and by how much each generalized feature will improve option pricing and...

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