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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013130782
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Ambiguity Aversion and Household Portfolio Choice : Empirical Evidence
Dimmock, Stephen G. - 2013
.S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts …
Persistent link: https://www.econbiz.de/10013087877
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The Cost of Capital for Alternative Investments
Jurek, Jakub W. - 2013
We document that the risks and pre-fee returns of broad hedge fund indices can be accurately matched with simple equity index put writing strategies, which provide monthly liquidity and complete transparency over their state-contingent payoff profiles. This nonlinear risk exposure combines with...
Persistent link: https://www.econbiz.de/10013072872
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Household Finance : Education, Permanent Income and Portfolio Choice
Cooper, Russell - 2013
This paper studies household financial choices: why are these decisions dependent on the education level of the household? A life cycle model is constructed to understand a rich set of facts about decisions of households with different levels of education attainment regarding stock market...
Persistent link: https://www.econbiz.de/10013075858
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Optimal Inattention to the Stock Market with Information Costs and Transactions Costs
Abel, Andrew B. - 2010
Recurrent intervals of inattention to the stock market are optimal if consumers incur a utility cost to observe asset values. When consumers observe the value of their wealth, they decide whether to transfer funds between a transactions account from which consumption must be financed and an...
Persistent link: https://www.econbiz.de/10013152620
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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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Wealth Transfers, Contagion, and Portfolio Constraints
Pavlova, Anna - 2005
This paper examines the co-movement among stock market prices and exchange rates within a three-country Center-Periphery dynamic equilibrium model in which agents in the Center country face portfolio constraints. In our model, international transmission occurs through the terms of trade, through...
Persistent link: https://www.econbiz.de/10012784541
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Portfolio Choice and Health Status
Rosen, Harvey S. - 2003
This paper analyzes the role that health status plays in household portfolio decisions using data from the Health and Retirement Study. The results indicate that health is a significant predictor of both the probability of owning different types of financial assets and the share of financial...
Persistent link: https://www.econbiz.de/10012786741
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Investor Competence, Trading Frequency, and Home Bias
Graham, John R. - 2010
People are more willing to bet on their own judgments when they feel skillful or knowledgeable (Heath and Tversky (1991)). We investigate whether this quot;competence effectquot; influences trading frequency and home bias. We find that investors who feel competent trade more often and have a...
Persistent link: https://www.econbiz.de/10012762441
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Optimal Currency Diversification for a Class of Risk Averse International Investors
Braga de Macedo, Jorge - 2010
In the framework of continuous-time finance theory, this paper derives the optimal consumption and portfolio rules for …
Persistent link: https://www.econbiz.de/10012763133