Existing studies of household stock trading using administrative data offer conflicting results: discount brokerage accounts exhibit excessive trading, while retirement accounts show inactivity. This paper uses population-wide data from PSID and SCF to examine the overall extent of household...

The four risk factors controlling for the market, size, value, and momentum effect have become a state-of-the-art framework for various applications in financial markets research. However, previous work shows that these broadly recognized risk factors are country-specific. For these reasons,...

Is wider access to stockholding opportunities related to reduced wealth inequality, given that it creates challenges for small and less sophisticated investors? Counterfactual analysis is used to study the influence of changes in the US stockholder pool and economic environment, on the...

This paper investigates the role of skewness preference in cross-sectional pricing of NYSE, AMEX, and NASDAQ stocks over the long sample period of January 1926-December 2005 as well as two subsamples. Portfolio-level analyses and the firm-level cross-sectional regressions indicate a negative and...

Using a Switzerland-specific Carhart model, we study the risk-adjusted performance of actively and passively managed mutual funds investing in Swiss stocks from 1989 to 2007. We also compare the performance of actively managed funds to passively managed funds instead of comparing them to a...

This article presents the first detailed analysis of the intra-day characteristics of idiosyncratic stock price crashes. The analysis focuses on the impact of large crashes in single stocks on their intra-day returns and liquidity in the US market. Furthermore, optimal intra-daily behavior...

We investigate the relationship of pension fund governance and investment performance. For this purpose, we develop the Swiss Pensoin Fund Governance Index (SPGI) which is a standard metric for the governance quality of Swiss pension funds. The empirical analysis is based on a sample of 96...

We analyse time-varying risk premia and the implications for portfolio choice. Using Markov Chain Monte Carlo (MCMC) methods, we estimate a multivariate regime-switching model for the Carhart (1997) four-factor model. We find two clearly separable regimes with different mean returns,...

We investigate, using the 2002 US Health and Retirement Study, individuals' insecurity and expectations about terrorism, and their effects on household financial decisions. We find that those without any military experience, the less educated, the more religious and females worry a lot about...

We investigate the performance of domestic and international bond and equity portfolios of Swiss pension funds and investment foundations over the period of 1996 to 2006. Our sample consists of 73 pension funds and 13 investment foundations with total assets of more than CHF 200 billion. We find...