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Portfolio selection with narrow framing : probability weighting matters
De Giorgi, Enrico; Legg, Shane - 2009 - This version: June 9, 2009
This paper shows that the framework proposed by Barberis and Huang (2009) to incorporate narrow framing and loss aversion into dynamic models of portfolio choice and asset pricing can be extended to also account for probability weighting and for a value function that is convex on losses and...
Persistent link: https://www.econbiz.de/10003970464
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Finding common ground when experts disagree : belief dominance over portfolios of alternatives
Baker, Erin; Bosetti, Valentina; Salo, Ahti A. - 2016
We address the problem of choosing a portfolio of policies under "deep uncertainty." We introduce the idea of belief dominance as a way to derive a set of non-dominated portfolios and robust individual alternatives. Our approach departs from the tradition of providing a single recommended...
Persistent link: https://www.econbiz.de/10011504367
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Dealing with trading thinness in event studies : an improved trade-to-trade model
Anderson, Warwick - 2012
Persistent link: https://www.econbiz.de/10009681375
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Signaling quality with return insurance : theory and empirical evidence
Zhang, Chong; Yu, Man; Chen, Jian - In: Management science : journal of the Institute for … 68 (2022) 8, pp. 5847-5867
Persistent link: https://www.econbiz.de/10013371126
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The cost of overconfidence in public information
Hwang, Soosung; Cho, Youngha; Noh, Sanha - In: International review of financial analysis 79 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013350049
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The economic value of distributional timing
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the conditional allocation of wealth. We show that if one neglects these aspects, as would be the case in a mean-variance allocation, a sighifiant cost would arise. The performance...
Persistent link: https://www.econbiz.de/10003548056
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Optimal incentives and securitization of defaultable assets
Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2011
We study optimal securitization of defaultable assets in a continuous time setting. A financial intermediary can create a portfolio of defaultable assets and then sell it to outside investors. The default risk of the assets in the portfolio is determined by the unobservable costly effort exerted...
Persistent link: https://www.econbiz.de/10009375121
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Mutual funds and risk disclosure : information content of fund prospectuses
Krakow, Jonathan; Schäfer, Timo - 2020
Mutual funds are mandated by the Securities and Exchange Commission (SEC) to disclose information on their investment … that regular content-based updates of the disclosed risks provide relevant information in predicting future fund … performance. Investors, however, do not react to this new information but rather to the content's informativeness. Finally, using …
Persistent link: https://www.econbiz.de/10012271034
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Return predictability following different drivers of large price changes
Patel, Vinay; Michayluk, David - In: International review of financial analysis 45 (2016), pp. 202-214
Persistent link: https://www.econbiz.de/10011581972