Narrow search
Showing 1 - 10 of 3,767
Cover Image
Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...
Persistent link: https://www.econbiz.de/10010431281
Cover Image
The existence of informationally efficient markets when individuals are rational
Muendler, Marc-Andreas - 2004
A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price - contrary to a wide-held conjecture. Generalizing the common additive signal-return model with CARA utility to the family of distributions with moment generating...
Persistent link: https://www.econbiz.de/10011451345
Cover Image
Insensitive investors
Charles, Constantin; Frydman, Cary; Kilic, Mete - 2022
We show theoretically that the weak transmission of beliefs to actions induces a strong bias in basic asset pricing tests. In particular, expected returns can appear to decline in risk when investors weakly transmit their payoff expectations into willingness to pay. We experimentally test this...
Persistent link: https://www.econbiz.de/10013440420
Cover Image
Testing for alpha in linear factor pricing podels with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …
Persistent link: https://www.econbiz.de/10011646274
Cover Image
Decomposing the disposition effect
Maier, Johannes K.; Fischer, Dominik Simon - 2021
We theoretically show that there is a fundamental disconnect between the disposition effect, i.e., investors’ tendency to sell winning assets too early and losing assets too late, and its common empirical measure, namely a positive difference between the proportion of gains and losses...
Persistent link: https://www.econbiz.de/10012628736
Cover Image
Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity
Manzano Tovar, Carolina; Vives, Xavier - 2010
We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...
Persistent link: https://www.econbiz.de/10003994517
Cover Image
Rational information choice in financial market equilibrium
Mündler, Marc Andreas (contributor) - 2005
Adding a stage of signal acquisition to the expected utility model shows that Bayesian updating results in a well defined law of demand for financial information when asset return distributions are conjugate priors to signals such as in the gamma-Poisson case. Signals have a positive marginal...
Persistent link: https://www.econbiz.de/10002756259
Cover Image
Collective risk-taking decisions with heterogeneous beliefs
Gollier, Christian - 2003
define the individual degree of pessimism as an index measuring probability differences across states. We show that the … degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …
Persistent link: https://www.econbiz.de/10011507677
Cover Image
The standard portfolio choice problem in Germany
Huck, Steffen; Schmidt, Tobias; Weizsäcker, Georg - 2015
We study an investment experiment conducted with a representative sample of German households. Respondents invest in a safe asset and a risky asset whose return is tied to the German stock market. Experimental investments correlate with beliefs about stock market returns and exhibit desirable...
Persistent link: https://www.econbiz.de/10011298558
Cover Image
Misperceived returns to active investing
Haaland, Ingar; Naess, Ole-Andreas Elvik - 2023
treated respondents with information about index funds historically outperforming active funds. Treated respondents are 17 ….8 percentage points more likely to believe that index funds will outperform active funds in the future. Four months after the … experiment, we collect administrative data on portfolio allocations. Treated respondents increase the index fund shares of their …
Persistent link: https://www.econbiz.de/10013536190