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Learning (not) to trade: Lindy's law in retail traders

Godina, Teodor; Kassibrakis, Serge; Malamud, Semyon; … - 2020

We develop a rational model of trading behavior in which the agents gradually learn about their ability to trade, and … exit after poor trading performance. We demonstrate that it is optimal for experienced traders to "procrastinate" and … decisions produce non-trivial and non-monotonic population-wide linkages between performance, exits, and trading experience …

Persistent link: https://www.econbiz.de/10012419675

Competition for attention in the ETF space

Ben-David, Itzhak; Franzoni, Francesco; Kim, Byungwook; … - 2021

The interplay between investors' demand and providers' incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs offered diversification at low cost, later ETFs track niche portfolios and charge high fees. Strikingly, over their first five years, specialized ETFs lose...

Persistent link: https://www.econbiz.de/10012421474

A solution to the Chinese trading halt puzzle

Liu, Crocker H.; Trzcinka, Charles; Zhao, Ziwei - 2023

Persistent link: https://www.econbiz.de/10014470806

ESG Rating Disagreement and Stock Returns

Gibson, Rajna; Krüger, Philipp; Riand, Nadine; … - 2019 - This version: December 2019

Using a sample of S&P 500 firms between 2013 and 2017, we study the impact of ESG rating disagreement on stock returns. We conjecture that for disagreement about environmental ratings, a risk-based explanation induces a positive relationship between rating disagreement and stock returns. In...

Persistent link: https://www.econbiz.de/10012177189

Buyers versus sellers : who initiates trades and when?

Chordia, Tarun; Goyal, Amit; Jegadeesh, Narasimhan - 2011

including the disposition effect, momentum and contrarian trading, tax-loss selling and flight-to-quality hypothesis. These … and as momentum traders over longer horizons. We find strong support for seasonal tax induced trading but little evidence …

Persistent link: https://www.econbiz.de/10009375163

Equity is cheap for large financial institutions : the international evidence

Gandhi, Priyank; Lustig, Hanno; Plazzi, Alberto - 2016 - This version: June 11, 2016

In most countries, equity is a cheap source of funding for a country's largest financial institutions. On average, the stocks of the top 10% financial companies in a country account for over a quarter of total market capitalization, but these stocks earn returns that are significantly lower than...

Persistent link: https://www.econbiz.de/10011515871

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Size and momentum profitability in international stock markets

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2015 - This version: August 25, 2015

stocks. Momentum premia are considerably diminished by trading costs, when taking into account the actual portfolio turnover … in most equity markets worldwide after adjusting for trading costs …

Persistent link: https://www.econbiz.de/10011412159

Average skewness matters!

Jondeau, Eric; Zhang, Qunzi - 2015

Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...

Persistent link: https://www.econbiz.de/10011412455

Has the pricing of stocks become more global?

Petzev, Ivan; Schrimpf, Andreas; Wagner, Alexander F. - 2015

We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...

Persistent link: https://www.econbiz.de/10011412487