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What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation
Barberis, Nicholas - 2006
explanation for this puzzle is based on prospect theory. Despite its prominence, this explanation has received little formal … scrutiny. We take up this task, and analyze the trading behavior of investors with prospect theory preferences. We find that …, at least for the simplest implementation of prospect theory, the link between these preferences and the disposition …
Persistent link: https://www.econbiz.de/10012779644
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The Location and Allocation of Assets in Pension and Conventional Savings Accounts
Shoven, John B. - 2010
This paper addresses two important parts of the problem of saving for retirement. They are (1) if assets are to be held in both conventional (and hence taxable) accounts and pension accounts, which assets should be held in each? and, (2) if the investor is substantially risk averse, what is the...
Persistent link: https://www.econbiz.de/10012763809
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Accounting and Actuarial Smoothing of Retirement Payouts in Participating Life Annuities
Maurer, Raimond - 2014
Life insurers use accounting and actuarial techniques to smooth reporting of firm assets and liabilities, seeking to transfer surpluses in good years to cover benefit payouts in bad years. Nevertheless, these techniques been criticized as they make it difficult to assess insurers' true financial...
Persistent link: https://www.econbiz.de/10013053850
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Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
Constantinides, George M. - 2010
By applying stochastic dominance arguments, upper bounds on the reservation write price of European calls and puts and lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction costs incurred in trading the underlying security....
Persistent link: https://www.econbiz.de/10012763033
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Mispriced Index Option Portfolios
Constantinides, George M.; Czerwonko, Michal; Perrakis, … - 2021
The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most...
Persistent link: https://www.econbiz.de/10013233758
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The Asset Pricing Implications of Plausible Deniability
Back, Kerry; Carlin, Bruce; Kazem Pour, Seyed Mohammad - 2022
We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...
Persistent link: https://www.econbiz.de/10014237687
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Asset Pricing with Heterogeneous Consumers and Limited Participation : Empirical Evidence
Brav, Alon - 2012
We present evidence that the equity premium and the premium of value stocks over growth stocks are explained in the 1982 1996 period with a stochastic discount factor (SDF) calculated as the weighted average of individual households' marginal rate of substitution with low and economically...
Persistent link: https://www.econbiz.de/10013102192
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Asset Pricing with Heterogeneous Consumers and Limited Participation : Empirical Evidence
Brav, Alon - 2010
The Euler equations of consumption are tested on the household consumption of non-durables and services, reconstructed from the CEX database. The estimated relative risk aversion coefficient of the representative household decreases, and the estimated unexplained mean equity premium decreases,...
Persistent link: https://www.econbiz.de/10012763346
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The Size and Power of the Variance Ratio Test in Finite Samples : a Monte Carlo Investigation
Lo, Andrew W.; Mackinlay, A. Craig - 2021
We examine the finite sample properties of the variance ratio test of the random walk hypothesis via Monte Carlo simulations under two null and three alternative hypotheses. These results are compared to the performance of the Dickey-Fuller t and the Box-Pierce Q statistics. Under the null...
Persistent link: https://www.econbiz.de/10013243404
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DSGE Models in a Data-Rich Environment
Boivin, Jean - 2011
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...
Persistent link: https://www.econbiz.de/10013118075