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We establish a link between illiquidity and positive autocorrelation in asset returns among a sample of hedge funds, mutual funds, and various equity portfolios. For hedge funds, this link can be confirmed by comparing the return autocorrelations of funds with shorter vs. longer...
Persistent link: https://www.econbiz.de/10013158586
We establish a link between illiquidity and positive autocorrelation in asset returns among a sample of hedge funds, mutual funds, and various equity portfolios. For hedge funds, this link can be confirmed by comparing the return autocorrelations of funds with shorter vs. longer...
Persistent link: https://www.econbiz.de/10013146731
We propose an evolutionary framework for optimal portfolio growth theory in which investors subject to environmental pressures allocate their wealth between two assets. By considering both absolute wealth and relative wealth between investors, we show that different investor behaviors survive in...
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The battle between proponents of the Efficient Markets Hypothesis and champions of behavioral finance has never been more pitched, and little consensus exists as to which side is winning or the implications for investment management and consulting. In this article, I review the case for and...
Persistent link: https://www.econbiz.de/10013038481
Economic shocks can have diverse effects on financial market dynamics at different time horizons, yet traditional portfolio management tools do not distinguish between short- and long-term components in alpha, beta, and covariance estimators. In this paper, we apply spectral analysis techniques...
Persistent link: https://www.econbiz.de/10012989978
If price and quantity are the fundamental building blocks of any theory of market interactions, the importance of trading volume in understanding the behavior of financial markets is clear. However, while many economic models of financial markets have been developed to explain the behavior of...
Persistent link: https://www.econbiz.de/10013159752