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Estimation and forecasting of large realized covariance matrices and portfolio choice

Callot, Laurent; Kock, Anders Bredahl; Medeiros, Marcelo C. - 2014

theoretical performance guarantees on the forecast capability of our procedure. To be precise, we show that we can forecast future … margin at the longer forecast horizons. Finally, we investigate the economic value of our forecasts in a portfolio selection …

Persistent link: https://www.econbiz.de/10010433899

Does risk seeking drive asset prices? : A stochastic dominance analysis of aggregate investor preferences

Post, Thierry; Levy, Haim - 2002

Persistent link: https://www.econbiz.de/10001689309

New evidence on the first financial bubble

Frehen, Rik G. P.; Goetzmann, William N.; Rouwenhorst, … - In: Journal of financial economics 108 (2013) 3, pp. 585-607

Persistent link: https://www.econbiz.de/10009764359

Signal or noise? : uncertainty and learning about whether other traders are informed

Banerjee, Snehal; Green, Brett - In: Journal of financial economics 117 (2015) 2, pp. 398-423

Persistent link: https://www.econbiz.de/10011480269

Disagreement and asset prices

Carlin, Bruce Ian; Longstaff, Francis A.; Matoba, Kyle - In: Journal of financial economics 114 (2014) 2, pp. 226-238

Persistent link: https://www.econbiz.de/10010532262

Complex evolutionary systems in behavioral finance

Hommes, Cars H.; Wagener, Florian Oskar Ottokar - 2008

Traditional finance is built on the rationality paradigm. This chapter discusses simple models from an alternative approach in which financial markets are viewed as complex evolutionary systems. Agents are boundedly rational and base their investment decisions upon market forecasting heuristics....

Persistent link: https://www.econbiz.de/10011376458

Stock selection strategies in emerging markets

Hart, Jaap van; Slagter, Erica; Dijk, Dick van - 2001

Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in severaldirections. First, we examine a broader range of stock selection strategies, including strategiesbased on analysts'...

Persistent link: https://www.econbiz.de/10011313928

Does risk seeking drive asset prices?

Post, Thierry; Levy, Haim - 2002

We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern0 of stock returns. For this purpose, we analyze the stochastic dominance efficiency classification of the value-weighted market portfolio relative to benchmark portfolios based on...

Persistent link: https://www.econbiz.de/10011326942

Behavioral heterogeneity in stock prices

Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

Persistent link: https://www.econbiz.de/10011343265

Experience does not eliminate bubbles : experimental evidence

Kopányi-Peuker, Anita; Weber, Matthias - 2018

. One is a call market experiment in which participants trade assets with each other. The other is a learning-to-forecast … experiment in which participants only forecast future prices, while the trade, which is based on these forecasts, is computerized … literature. Our findings in the learning-to-forecast experiment are novel. Interestingly, the shape of the bubbles is different …

Persistent link: https://www.econbiz.de/10011932581