Pension systems often entail some compulsory saving over which individuals have some degree of choice in terms of the pension plan in which to invest. We analyse whether the choice between alternative plans is affected by the presence of liquidity constraints during working life and we prove...

This experiment shows that varying the commission received by financial advisors strongly influences insurance purchase.

We present a multi-trial experiment that extends the classic experiment of Thaler et al. (1997) by adding short-term information to long-term investment. The allocation to the risky asset is reduced in the long-term, when we add short-term information.

This paper uses Hansen and Jagannathan's (1991) volatility bounds to evaluate models with idiosyncratic consumption risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and the distribution of the idiosyncratic shock is...

Do investors confuse the quality of a firm with its attractiveness as an investment? If so, shares of well-run companies will be bid up too high and subsequently earn negative abnormal returns. Our analysis of Fortune magazine's annual survey of quot;America's Most Admired Companiesquot; for...

We investigate whether the use of component forecasts improves the accuracy of a portfolio forecast which uses only aggregate data. The results show that the use of component data improves the accuracy of aggregate forecasts. Furthermore, the long–short trading strategy based on the component...

We use extreme value theory to analyse the tails of a momentum strategy’s return distribution. The asymmetry between the fat left tail and thin right tail strongly reduces a momentum strategy’s prospective utility levels.

This paper shows that when Value-at-Risk constrained institutional investors care about their relative standings among the peer group, more risk averse investors would take more risk, which improves the risk sharing and lowers the volatility.

Estimates of agents’ risk aversion differ between market studies and experimental studies. We demonstrate that these estimates can be reconciled through consistent treatment of agents’ propensity for narrow framing.