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Hedge Fund Holdings and Stock Market Efficiency

Cao, Charles - 2017

We study the relation between hedge fund equity holdings and measures of informational efficiency of stock prices derived from intraday transactions, as well as daily data. Our findings support the role of hedge funds as arbitrageurs who reduce mispricing in the market. Hedge funds invest in...

Persistent link: https://www.econbiz.de/10012969070

Hedge Fund Holdings and Stock Market Efficiency

Cao, Charles - 2014

We examine the relation between changes in hedge fund stock holdings and measures of informational efficiency of equity prices derived from transactions data, and find that, on average, increased hedge fund ownership leads to significant improvements in the informational efficiency of equity...

Persistent link: https://www.econbiz.de/10013053677

The Growth of Relative Wealth and the Kelly Criterion

Lo, Andrew W. - 2019

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...

Persistent link: https://www.econbiz.de/10012902422

Measuring risk preferences and asset-allocation decisions : a global survey analysis

Lo, Andrew W.; Remorov, Alexander; Ben Chaouch, Zied - In: Journal of investment management : JOIM 18 (2020) 3, pp. 5-50

Persistent link: https://www.econbiz.de/10012589063

Sharing R&D Risk in Healthcare via FDA Hedges

Jørring, Adam - 2017

government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be …&D investors to better share the pipeline risk associated with FDA approval with broader capital markets. Using historical FDA … from offering them. Using various unique data sources, we find that FDA approval risk has a low correlation across drug …

Persistent link: https://www.econbiz.de/10012959215

An Empirical Evaluation of Tax-Loss Harvesting Alpha

Chaudhuri, Shomesh - 2020

Advances in financial technology have made tax-loss harvesting strategies more feasible for retail investors. We evaluate the magnitude of this “tax alpha” using historical data from the Center for Research in Securities Prices monthly database for the 500 securities with the largest market...

Persistent link: https://www.econbiz.de/10012849888