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Locus of Control and Investment in Risky Assets

Salamanca, Nicolas - 2016

larger share of equity in their investment portfolio. This relation holds when we control for economic preferences and …

Persistent link: https://www.econbiz.de/10012977336

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution

Pesaran, Bahram; Pesaran, M. Hashem - 2021

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10013316934

Corporate Efficiency, Credit Status and Investment

Quader, Manzur - 2014

firm's investment is comparatively more sensitive to cash flow, but this sensitivity is negatively and significantly … related with corporate efficiency. These results point to the fact that high investment sensitivity to cash flow may not be … solely driven by measurement error in investment opportunity, but may still be interpreted as a consequence of imperfect …

Persistent link: https://www.econbiz.de/10013051438

Skewness Expectations and Portfolio Choice

Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian - 2022

Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad...

Persistent link: https://www.econbiz.de/10013406448

Becoming Sensitive : Males' Risk and Time Preferences after the 2008 Financial Crisis

Jetter, Michael - 2020

This paper presents evidence suggesting men's (but not women's) risk and time preferences have systematically become sensitive to local economic conditions since the 2008 financial crisis. Studying longitudinal, nationally representative data for 22,579 Australian-based respondents in up to 11...

Persistent link: https://www.econbiz.de/10012838493

Locus of Control and Savings

Cobb-Clark, Deborah A. - 2013

This paper analyzes the relationship between individuals' locus of control and their savings behavior, i.e. wealth accumulation, savings rates, and portfolio choices. Locus of control is a psychological concept that captures individuals' beliefs about the controllability of life events and is a...

Persistent link: https://www.econbiz.de/10013071285

The Coming Wave : Where Do Emerging Market Investors Put Their Money?

Karolyi, George Andrew - 2015

We examine how emerging market (EM) investors allocate their stock portfolios internationally. Using both country-level and institution-level data, we find that the coming wave of EM investors systematically over- and under-weight their holdings in some target countries. These abnormal foreign...

Persistent link: https://www.econbiz.de/10013013596

Decomposing Excess Returns in Stochastic Linear Models

Lin, Carl - 2012

We present a theorem helpful in estimating the mean and variance of a linear function with arbitrary multivariate randomness in its coefficients and variables. We derive a generalized decomposition result from two random linear functions in which the result can be applied to most models using...

Persistent link: https://www.econbiz.de/10013113072

Household Portfolio Choice, Reference Dependence, and the Marriage Market

Li, Wenchao - 2017

This paper bridges the financial market and the marriage market using a reference-dependent mechanism. Male-biased sex ratios induce families with sons to hold more risky assets, since competitive marital payment in a tight market raises the reference level of marriage expenditure for such...

Persistent link: https://www.econbiz.de/10012963843

Portfolio Allocation, Income Uncertainty and Households' Flight from Risk

Brown, Sarah - 2016

Analysing the US Panel Study of Income Dynamics, we present a new empirical method to investigate the extent to which households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a deflated fractional ordered probit model –...

Persistent link: https://www.econbiz.de/10012977335

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