Technical trading strategies assume that past changes in prices help predict future changes. This makes sense if the past price trend reflects fundamental information that has not yet been fully incorporated in the current price. However, if the past price trend only reflects temporary pricing...

Presentation Slides for "Overconfidence, Arbitrage, and Equilibrium Asset Pricing" This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are...

We use 92,632,873 daily returns for 33,010 US firms to establish the best forecasting model for realized idiosyncratic variances. Comparing forecasts from 10 different models, we find that the most popular models, the martingale and GARCH type models, perform worst. Using the...

Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental uncertainty from the observed time series of the variance premium and the credit spread while controlling for the conditional variance, expectations about the macroeconomic...

Rationality would suggest that advice-seeking investors receive benefits from costly financial advice. However, evidence documenting these benefits for U.S. investors has so far been lacking. This paper is the first to document that U.S. mutual fund investors indeed receive one of the many...

Rationality suggests that advice-seeking investors receive benefits from financial advice that are comparable in value to the fees paid for such advice. However, empirical evidence documenting these benefits for U.S. investors has so far been lacking. We document that U.S. mutual fund investors...

Whether financial advisors provide useful services for clients that seek to invest in mutual funds remains an open question. We are the first to show that financial advisors generate tangible benefits for their clients in the form of useful tax advice. Specifically, financial advisors help...

This study shows that financial advisors provide useful tax advice to their clients, being the first to provide evidence of tangible benefits delivered by financial advisors in the U.S. We find that investors who purchase mutual fund shares through financial advisors exhibit a stronger tendency...

This study shows that financial advisors provide useful tax advice to their clients, being the first to provide evidence of tangible benefits delivered by financial advisors in the U.S. We find that investors who purchase mutual fund shares through financial advisors exhibit a stronger tendency...

We are the first to show that financial advisors generate tangible benefits for their clients in the form of useful tax advice. Investors who purchase mutual funds through financial advisors exhibit a stronger tendency of avoiding taxable distributions than those who do not. Our calculations...