Showing 1 - 10 of 318
We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...
Persistent link: https://www.econbiz.de/10015066381
Choosing solutions under risk and uncertainty requires the consideration of several factors. One of the main factors in …
Persistent link: https://www.econbiz.de/10012508716
In this paper we analyze insurance demand when the utility function depends both upon final wealth and the level of losses or gains relative to a reference point. Besides some comparative statics results, we discuss the links with first-order risk aversion, with the Omega measure, and with a...
Persistent link: https://www.econbiz.de/10011867426
The endowment effect is a phenomenon whereby ownership increases the perceived value of goods, thereby reducing the willingness to trade. This paper presents the results of a field experiment, designed to assess the robustness of this effect when decisions concern unique, nontangible instruments...
Persistent link: https://www.econbiz.de/10015327700
Persistent link: https://www.econbiz.de/10014303778
This paper investigates a dynamic liability-driven investment policy for defined-benefit (DB) plans by incorporating the loss aversion of a sponsor, who is assumed to be more sensitive to underfunding than overfunding. Through the lens of prospect theory, we first set up a loss-aversion utility...
Persistent link: https://www.econbiz.de/10014497331
Expected returns, variances, betas, and alphas are all non-linear functions of the investment horizon. This seems to be a fatal conceptual problem for the capital asset pricing model (CAPM), which assumes a unique common horizon for all investors. We show that under the standard assumptions, the...
Persistent link: https://www.econbiz.de/10014497444
We provide new evidence of a favorite long-shot bias for bets placed on baseball games. Our analysis uses the difference of mean run differentials as an observable proxy for the probability of a team to win. When baseball is viewed through this proxy, we see that bettors believe favorites are...
Persistent link: https://www.econbiz.de/10014334404
Panic selling causes long-term losses and hinders investors' return to the market. It has been explained using prospect theory aspects such as loss and regret aversion. Additionally, overconfidence and overreaction contribute to the disposition effect, leading investors to sell stocks...
Persistent link: https://www.econbiz.de/10015130526
The widespread use of digital technologies and the current pandemic (COVID) have fueled the need and call for digital transformation in the banking sector. Although this has various benefits, it is a disruption to the norm to which a bank customer has to become accustomed. This variance means...
Persistent link: https://www.econbiz.de/10012705000