This paper derives a multibeta representation theorem for pricing assets using arbitrary reference variables that are not necessarily the true factors. Under this theorem, the upper bound on pricing deviations depends upon the correlations not only between the reference variables and the factors...

We use mutual fund manager data from the technology bubble to examine the hypothesis that inexperienced investors play a role in the formation of asset price bubbles. Using age as a proxy for managers' investment experience, we find that around the peak of the technology bubble, mutual funds run...

We find large variations in returns from momentum strategies. Momentum strategies did not earn significant returns during the period of 1993-2004 which was due to their poor performance over the period from 2001-2004. We find that the previously documented large firm momentum effect is sensitive...

This paper explores portfolio allocation when individuals target the mean and variance of consumption growth. These consumption targets lead to an optimal mix of equity which depends on the equity risk premium, the rate of return on riskless bonds, the desired rate of escalation of consumption...

It is well known that the various formulas for the duration of a bond give inaccurate results. Their accuracy can be improved by the addition of extra elements, such as convexity or duration vectors. But the results remain inaccurate. A recent paper proposed a new formula for the duration of a...

We propose a new structural form methodology for understanding the fluctuations and predictability of volatilities and covariances of asset returns. In our model, a representative agent learns about the joint movements in inflation and real earnings through business cycles. We extract investors'...

This study investigates individual investors' bias towards nearby companies. Using data from a large U.S. discount brokerage, we find that individual investors tend to invest in companies closer to them relative to the market portfolio. Unlike Coval and Moskowitz's (1999) findings on...

We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that...

We use semi-parametric bin tests, regression analyses and copula modeling techniques to identify the relationship between temperature and stock market returns. After examining 25 international stock markets, we find that the negative correlation is statistically significant in individual...

We evaluate the performance of 51 mutual fund families based on a study of their diversified US managed mutual funds over an 11 year period and explore the determinants of performance gross of published expenses. We find that mutual fund families which charge loads, high expenses to their most...