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Cash-Flow Risk, Discount Risk, and the Value Premium
Santos, Tano - 2005
with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … value premium is larger in "bad times," due to time variation in risk preferences; (c) the unconditional CAPM fails, because …
Persistent link: https://www.econbiz.de/10012466855
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Broadband Internet and the Stock Market Investments of Individual Investors
Hvide, Hans K.; Meling, Tom G.; Mogstad, Magne; Vestad, … - National Bureau of Economic Research - 2022
We study the effects of broadband internet use on the investment decisions of individual investors. A public program in Norway provides plausibly exogenous variation in internet use. Our instrumental variables estimates show that internet use causes a substantial increase in stock market...
Persistent link: https://www.econbiz.de/10013362037
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Higher-Order Beliefs and Risky Asset Holdings
Gorodnichenko, Yuriy; Yin, Xiao - National Bureau of Economic Research - 2024
We combine a customized survey and randomized controlled trial (RCT) to study the effect of higher-order beliefs on U.S. retail investors' portfolio allocations. We find that investors' higher-order beliefs about stock market returns are correlated with but distinct from their first-order...
Persistent link: https://www.econbiz.de/10014635643
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War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets
Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023
valuation of disaster risk. Focusing on media discourse addresses the challenge of sample size even when major disasters are …
Persistent link: https://www.econbiz.de/10014287305
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Portfolio Management in Private Equity
Brown, Gregory W.; Fei, Celine Yue; Robinson, David T. - National Bureau of Economic Research - 2023
to earn higher returns, or investing more broadly to reduce risk through diversification. Using a novel, deal …, but are also the least risky. Returns and risk are both increasing in industry or geographic concentration. And while GP … deal selection, to seek risk-adjusted fund-level returns …
Persistent link: https://www.econbiz.de/10014372421
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Forward Return Expectations
Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023
We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...
Persistent link: https://www.econbiz.de/10014372444
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Household Portfolios and Retirement Saving over the Life Cycle
Parker, Jonathan A.; Schoar, Antoinette; Cole, Allison T.; … - National Bureau of Economic Research - 2022
This paper documents the share of investable wealth that middle-class U.S. investors hold in the stock market over their working lives. This share rises modestly early in life and falls significantly as people approach retirement. Prior to 2000, the average investor held less of their investable...
Persistent link: https://www.econbiz.de/10013172180
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Portfolio Choice in Retirement : Health Risk and the Demand for Annuities, Housing, and Risky Assets
Yogo, Motohiro - 2009
In a life-cycle model, a retiree faces stochastic health depreciation and chooses consumption, health expenditure, and the allocation of wealth between bonds, stocks, and housing. The model explains key facts about asset allocation and health expenditure across health status and age. The...
Persistent link: https://www.econbiz.de/10012463342
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Contrarian Investment, Extrapolation, and Risk
Lakonishok, Josef - 1993
For many years, stock market analysts have argued that value strategies outperform the market. These value strategies call for buying stocks that have low prices relative to earnings, dividends, book assets, or other measures of fundamental value. While there is some agreement that value...
Persistent link: https://www.econbiz.de/10012474596
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Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts
Horneff, Wolfram J. - 2008
This paper shows how lifelong survival-contingent payouts can enhance investor wellbeing in the context of a portfolio choice model which integrates uninsurable labor income and asymmetric mortality expectations. Our model generates optimal asset location patterns indicating how much to hold in...
Persistent link: https://www.econbiz.de/10012464591