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Using proprietary portfolio data on millions of households, we show that (likely) Republicans increase the equity share and market beta of their portfolios following the 2016 presidential election, while (likely) Democrats rebalance into safe assets. We provide evidence that this behavior is...
Persistent link: https://www.econbiz.de/10013223798
This paper constructs an index of financial sophistication that, in comprehensive data on Swedish households, best explains a set of three investment mistakes: underdiversification, risky share inertia, and the tendency to sell winning stocks and hold losing stocks (the disposition effect). The...
Persistent link: https://www.econbiz.de/10013244764
We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints....
Persistent link: https://www.econbiz.de/10013135232
We estimate risk aversion from the actual financial decisions of 2,168 investors in Lending Club (LC), a person-to-person lending platform. We develop a methodology that allows us to estimate risk aversion parameters from each portfolio choice. Since the same individual makes repeated...
Persistent link: https://www.econbiz.de/10013142538
This paper investigates the determinants of financial risk-taking in a panel containing the asset holdings of Swedish twins. We measure the impact of a broad set of demographic, financial, and portfolio characteristics, and use yearly twin pair fixed effects to control for genes and shared...
Persistent link: https://www.econbiz.de/10013145244
I characterize a dynamic economy under general distributions of households' risk tolerance, endowments, and beliefs about long-term growth. As the economy expands and the stock market rises (a) the fraction of households with declining consumption-share increases; (b) the wealth-share of high...
Persistent link: https://www.econbiz.de/10012894994
This paper examines the agency conflict between mutual fund investors and mutual fund companies. Investors would like the fund company to use its judgement to maximize risk-adjusted fund returns. A fund company, however, in its desire to maximize its value as a concern has an incentive to take...
Persistent link: https://www.econbiz.de/10013232155
Following the Pension Protection Act of 2006, there was a sharp increase in the use of TDFs as default investment options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles, even for funds with the same target retirement date. Using...
Persistent link: https://www.econbiz.de/10013109863
Risky-asset prices are conventionally modeled as quot;fully (information-) revealingquot;. Much less work has been done on how prices get to reveal information. Following the quot;noisy-pricesquot;, rational-expectations approach, our answer focuses on the micro-foundations of information...
Persistent link: https://www.econbiz.de/10012750105
We develop a model of optimal investment with two types of agents with different beliefs about the market dynamics. Market conformists agree with the true log-normal price distribution and rebels believe in price predictability. Depending on their exact beliefs, the rebels may follow either a...
Persistent link: https://www.econbiz.de/10012788056