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Long-Run Saving Dynamics: Evidence from Unexpected Inheritances

Druedahl, Jeppe; Martinello, Alessandro - 2017

Long-run saving dynamics are a crucial component of consumption-saving behavior. This paper makes two contributions to the consumption literature. First, we exploit inheritance episodes to provide novel causal evidence on the long-run effects of a large financial windfall on saving behavior. For...

Persistent link: https://www.econbiz.de/10013208751

Retail investors' contrarian behavior around news, attention, and the momentum effect

Luo, Cheng; Ravina, Enrichetta; Sammon, Marco; Viceira, … - 2023

Using a large panel of U.S. brokerage accounts trades and positions, we show that a large fraction of retail investors trade as contrarians after large earnings surprises, especially for loser stocks, and that such contrarian trading contributes to post earnings announcement drift (PEAD) and...

Persistent link: https://www.econbiz.de/10014480632

Liquidity Shocks and Stock Market Reactions

Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - 2013

This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...

Persistent link: https://www.econbiz.de/10010500241

Profit Testing of Profit Sharing Life Insurance Policies in the Presence of Extreme Risks

Le Courtois, Olivier; Shen, Li - 2023

This paper examines the profit testing of life insurance companies that issue participating policies, type B and type A … stochastic and modeled by normal or variance gamma distributions. We rely on the stochastic profit testing techniques introduced … the profit testing indicators. We show that the variance gamma model results in more conservative predictions - in a …

Persistent link: https://www.econbiz.de/10014356168

Wo sind die Grenzen des Marktwachstums von Hedgefonds?

Eling, Martin - Institut für Versicherungswirtschaft <Sankt Gallen> - 2006

In der Literatur wird häufig vermutet, dass eine zunehmende Anzahl Hedgefondseinen negativen Einfluss auf die Renditen dieser Fonds haben könnte. DieserVermutung wird in diesem Beitrag nachgegangen. Wir verfolgen dabei zweiZiele: Zum einen geben wir einen Überblick über die Entwicklung des...

Persistent link: https://www.econbiz.de/10005861512

International Price and Earnings Momentum

Leippold, Markus; Lohre, Harald - National Centre of Competence in ResearchFinancial … - 2008

We find that price and earnings momentum are pervasive features of international equitymarkets when controlling for data snooping biases. For European countries, we find that pricemomentum is subsumed by earnings momentum on an aggregate level. However, this rationaledoes not apply to each and...

Persistent link: https://www.econbiz.de/10005868982

Prospect Theory and Higher Moments

Ågren, Martin - 2006

The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis, assuming returns are normal inverse Gaussian distributed. The normal inverse Gaussian distribution parametrizes the first- to forth-order moments, making the investigation...

Persistent link: https://www.econbiz.de/10010321576

Estimating the intensity of choice in a dynamic mutual fund allocation decision

Goldbaum, David; Mizrach, Bruce - 2005

The paper analyzes the intensity of choice in an agent based financial optimization problem. Mean-variance optimizing agents choose among mutual funds of similar styles but varying performance. We specify a model for the allocation of new funds, switching between funds, and withdrawals and...

Persistent link: https://www.econbiz.de/10010318362

Stock Exchange Competition in a Simple Model of Capital Market Equilibrium

Ramos, Sofia B.; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper uses a simple model of mean-variance asset pricing with transactions costs to analyze one of the main empirical phenomena in stock market competition in the last years, the decrease of transaction costs. We endogenize transactions costs as variables strategically influenced by stock...

Persistent link: https://www.econbiz.de/10005858015

Why and how to integrate liquidity risk into a VaR-framework

Stange, Sebastian; Kaserer, Christoph - 2008

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using...

Persistent link: https://www.econbiz.de/10010305731

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