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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

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

On the fast track: information acquisition costs and information production

Chen, Deqiu; Ma, Yujing; Martin, Xiumin; Michaely, Roni - 2020

Using the introduction of high-speed rail (HSR) as an exogenous shock to costs of information acquisition, we show that … reductions in information-acquisition costs lead to (i) a significant increase in information production, evidenced by a higher … information lead to these effects becoming more pronounced. Importantly, more information production is also associated with …

Persistent link: https://www.econbiz.de/10012271169

On the fast track: information acquisition costs and information production

Chen, Deqiu; Ma, Yujing; Martin, Xiumin; Michaely, Roni - 2020

Using the introduction of high-speed rail as exogenous shocks to costs of information acquisition, we show that … reductions in information-acquisition costs lead to a significant increase in information production and improvement in output … that information production represents the channel through which acquisition costs affect output quality. We corroborate …

Persistent link: https://www.econbiz.de/10012181499

Managerial turnover and leverage under a takeover threat

Novaes, Walter - In: The journal of finance : the journal of the American … 57 (2002) 6, pp. 2619-2650

Persistent link: https://www.econbiz.de/10001721780

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

Closed-end fund shares' abnormal returns and the information content of discounts and premiums

Brauer, Greggory A. - In: The journal of finance : the journal of the American … 43 (1988) 1, pp. 113-127

Persistent link: https://www.econbiz.de/10001057975

A tangled tale of training and talent : PhDs in institutional asset management

Chaudhuri, Ranadeb; Ivković, Zoran; Pollet, Joshua M.; … - In: Management science : journal of the Institute for … 66 (2020) 12, pp. 5623-5647

Persistent link: https://www.econbiz.de/10012391403

Firm consolidation and labor market outcomes

Dobbelaere, Sabien; McCormack, Grace; Prinz, Daniel; … - 2022

Using rich administrative data from the Netherlands, we study the consequences of firm consolidation for workers. For workers at acquired firms, takeovers are associated with a 8.5% drop in employment at the consolidated firm and a 2.6% drop in total labor income. These effects are persistent...

Persistent link: https://www.econbiz.de/10013471298

Stock returns in mergers and acquisitions

Hackbarth, Dirk; Morellec, Erwan - In: The journal of finance : the journal of the American … 63 (2008) 3, pp. 1213-1252

Persistent link: https://www.econbiz.de/10003822274

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