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Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2024

Over the past two decades, respondents to the Shiller Investor Confidence Surveys assess the probability of a catastrophic stock market crash to be much higher that the historical frequency of such events. We decompose these crash probabilities into fundamental and subjective components and use...

Persistent link: https://www.econbiz.de/10014576618

Crash Narratives

Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2022

The financial press is a conduit for popular narratives that reflect collective memory about historical events. Some collective memories relate to major stock market crashes, and investors may rely on associated narratives, or "crash narratives," to inform current beliefs and choices. Using...

Persistent link: https://www.econbiz.de/10013334413

Non-Fundamental Flows and Foreign Exchange Rates

Aldunate, Felipe E.; Da, Zhi; Larrain, Borja; Sialm, Clemens - National Bureau of Economic Research - 2022

Frequent, yet uninformed, fund flows in Chilean pension plans generate substantial trading in currency markets due to the high allocation to international securities. These non-fundamental flows have a significant impact on the Chilean peso, which is estimated to have a relatively low price...

Persistent link: https://www.econbiz.de/10013477245

Green Tilts

Pástor, Ľuboš; Stambaugh, Robert F.; Taylor, Lucian A. - National Bureau of Economic Research - 2023

We estimate financial institutions' portfolio tilts that relate to stocks' environmental, social, and governance (ESG) characteristics. We find ESG-related tilts totaling 6% of the investment industry's assets under management in 2021. ESG tilts are significant at both the extensive margin...

Persistent link: https://www.econbiz.de/10014322708

Fund Flows and Income Risk of Fund Managers

Cen, Xiao; Dou, Winston Wei; Kogan, Leonid; Wu, Wei - National Bureau of Economic Research - 2023

Investment fund managers make asset allocation decisions on behalf of a significant segment of US households. To elucidate the incentives they operate under, as well as the income and career risks they face, we construct a unique and novel dataset, which encompasses detailed information on the...

Persistent link: https://www.econbiz.de/10014447307

Elephants in Equity Markets

Rey, Hélène; Planat, Adrien Rousset; Stavrakeva, Vania; … - National Bureau of Economic Research - 2024

We introduce a novel empirical decomposition of equity price growth rates in terms of equity holdings, based on market-clearing conditions. Although our sample holdings cover only an average of 5% of market capitalization, our reconstructed equity holdings account for, on average, 89% of the...

Persistent link: https://www.econbiz.de/10014635719

Skill and Fees in Active Management

Stambaugh, Robert F. - 2019

Greater skill of active investment managers can mean less fee revenue in a general equilibrium. Although more-skilled managers earn more revenue than less-skilled managers, greater skill for active managers overall can imply less revenue for their industry. Greater skill allows managers to...

Persistent link: https://www.econbiz.de/10012479976

Naïve *Buying* Diversification and Narrow Framing by Individual Investors

Gathergood, John - 2019

portfolio diversification--NPD) or engage in naïve buying diversification (NBD)--equally balancing values in same-day purchases …

Persistent link: https://www.econbiz.de/10012479521

Obfuscation, Learning, and the Evolution of Investor Sophistication

Carlin, Bruce Ian - 2009

Investor sophistication has lagged behind the growing complexity of retail financial markets. To explore this, we develop a dynamic model to study the interaction between obfuscation and investor sophistication. Taking into account different learning mechanisms within the investor population, we...

Persistent link: https://www.econbiz.de/10012463695

Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US

Lewis, Karen K. - 2006

would imply about the diversification potential across countries. For this purpose, I examine two basic groups of … group since this is the standard approach in the international diversification literature, while I study the second group … since some have argued that US-listed foreign stocks are the more natural diversification vehicle (Errunza et al (1999)). In …

Persistent link: https://www.econbiz.de/10012465963

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