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Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …

Persistent link: https://www.econbiz.de/10012456159

Asset Insulators

Chodorow-Reich, Gabriel - 2018

We propose that financial institutions can act as asset insulators, holding assets for the long run to protect their valuations from consequences of exposure to financial markets. We demonstrate the empirical relevance of this theory for the balance sheet behavior of a large class of...

Persistent link: https://www.econbiz.de/10012480626

The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle

Barberis, Nicholas - 2006

We review a recent approach to understanding the equity premium puzzle. The key elements of this approach are loss aversion and narrow framing, two well-known features of decision-making under risk in experimental settings. In equilibrium, models that incorporate these ideas can generate a large...

Persistent link: https://www.econbiz.de/10012466287

Profitability of Momentum Strategies : An Evaluation of Alternative Explanations

Jegadeesh, Narasimhan - 1999

This paper evaluates various explanations for the profitability of momentum strategies documented in Jegadeesh and …

Persistent link: https://www.econbiz.de/10012471628

The Efficiency of Sponsor and Participant Portfolio Choices in 401(k) Plans

Tang, Ning - 2009

Portfolio performance in 401(k) plans depends on both the investment menu made available by plan sponsors and participants portfolio decisions. We use a unique dataset of nearly 1 million participants in one thousand pension plans to identify key portfolio inefficiencies in 401(k)...

Persistent link: https://www.econbiz.de/10012463333

Individual Investor Mutual-Fund Flows

Ivkovich, Zoran - 2008

This paper studies the relation between individuals' mutual fund flows and fund characteristics, establishing three key results. First, consistent with tax motivations, individual investors are reluctant to sell mutual funds that have appreciated in value and are willing to sell losing funds....

Persistent link: https://www.econbiz.de/10012464066

Gradual Portfolio Adjustment : Implications for Global Equity Portfolios and Returns

Bacchetta, Philippe - 2017

Modern open economy macro models assume the continuous adjustment of international portfolio allocation. We introduce gradual portfolio adjustment into a global equity market model. Our approach differs from related literature in two key dimensions. First, the time interval between portfolio...

Persistent link: https://www.econbiz.de/10012455318

Market Efficiency in an Irrational World

Daniel, Kent - 2000

This paper explains why investors are likely to be overconfident and how this behavioral bias affects investment decisions. Our analysis suggests that investor overconfidence can potentially generate stock return momentum and that this momentum effect is likely to be the strongest in those...

Persistent link: https://www.econbiz.de/10012471287

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

Chacko, George - 1999

This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using the Duffie-Epstein (1992) formulation of recursive utility in continuous time, it shows that the optimal portfolio demand for stocks under stochastic volatility varies strongly...

Persistent link: https://www.econbiz.de/10012471407

The Location and Allocation of Assets in Pension and Conventional Savings Accounts

Shoven, John B. - 1999

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/10012471793

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