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Ang, Andrew - 2005

place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside … market movements. We show that the cross-section of stock returns reflects a premium for downside risk. Specifically, stocks … that covary strongly with the market when the market declines have high average returns. We estimate that the downside risk …

Persistent link: https://www.econbiz.de/10012466847

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

Portfolios for Long-Term Investors

Cochrane, John H. - National Bureau of Economic Research - 2021

How should long-term investors form portfolios in our time-varying, multifactor and friction-filled world? Two conceptual frameworks may help: looking directly at the stream of payments that a portfolio and payout policy can produce, and including a general equilibrium view of the markets'...

Persistent link: https://www.econbiz.de/10012482728

Downside Risk and the Momentum Effect

Ang, Andrew - 2001

Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market … of return on stocks with the greatest downside risk exceeds the average rate of return on stocks with the least downside … risk by 6.55% per annum. Downside risk is important for explaining the cross-section of expected returns. In particular of …

Persistent link: https://www.econbiz.de/10012470072

Cash-Flow Risk, Discount Risk, and the Value Premium

Santos, Tano - 2005

value premium is larger in "bad times," due to time variation in risk preferences; (c) the unconditional CAPM fails, because … with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM …

Persistent link: https://www.econbiz.de/10012466855

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

Fight or Flight? Portfolio Rebalancing by Individual Investors

Calvet, Laurent E. - 2008

This paper investigates the dynamics of individual portfolios in a unique dataset containing the disaggregated wealth of all households in Sweden. Between 1999 and 2002, we observe little aggregate rebalancing in the financial portfolio of participants. These patterns conceal strong...

Persistent link: https://www.econbiz.de/10012464470

Investor Competence, Trading Frequency, and Home Bias

Graham, John R. - 2005

People are more willing to bet on their own judgments when they feel skillful or knowledgeable (Heath and Tversky (1991)). We investigate whether this "competence effect" influences trading frequency and home bias. We find that investors who feel competent trade more often and have a more...

Persistent link: https://www.econbiz.de/10012467253

Investor Behavior and the Purchase of Company Stock in 401(k) Plans - The Importance of Plan Design

Liang, Nellie - 2002

Using panel data for nearly 1,000 companies during 1991 to 2000, this paper documents that the average share of participant's discretionary 401(k) contributions in company stock was almost 20 percent, and then relates this share to plan design features and firm financial characteristics. We find...

Persistent link: https://www.econbiz.de/10012469580

The Cost of Capital for Alternative Investments

Jurek, Jakub W. - 2013

profiles. This nonlinear risk exposure combines with large allocations, typical among investors in alternatives, to produce …

Persistent link: https://www.econbiz.de/10012459019

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