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In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e ….g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the … bubble increases for low market liquidity and high switching speed of investors. The market volatility increases for strong …
Persistent link: https://www.econbiz.de/10010323727
conclusion which may be related to the structure of the domestic stock market. Furthermore, we provide evidence against the …
Persistent link: https://www.econbiz.de/10010271154
financial decisionmaking. In this paper we present a simple model based on loss aversion that can accommodatefor all of these … finance research. …
Persistent link: https://www.econbiz.de/10010324945
considers market timing strategies of the fund management and takes publicly available information into account (conditional …
Persistent link: https://www.econbiz.de/10010298128
along with the development of the SRI fund market, the performance sensitivity of SRI investors has increased. Today, SRI …
Persistent link: https://www.econbiz.de/10010302539
Persistent link: https://www.econbiz.de/10011288127
.We apply a sophisticated operations research algorithm embedded in inverse portfolio optimization on financial market data, ESG …
Persistent link: https://www.econbiz.de/10010281494
We investigate the circumstances under which socially responsible investing (SRI) enhances firm long-term financial performance, and therefore provides incentives for firms to self-regulate their environmental performance. Aggregating portfolios across SRI mutual funds, we estimate the effect of...
Persistent link: https://www.econbiz.de/10014545928
2009 reveals the appeal of a recently constructed financial databank comprising the common market return, size, value, and … momentum factors according to Carhart (1997). These risk factors from the four-factor model allow us to estimate more reliable … risk-adjusted returns than in the restrictive one-factor model based on the Capital Asset Pricing Model. In both the US and …
Persistent link: https://www.econbiz.de/10010294388
society including businesses. Companies have integrated corporate social responsibility into their business model as a kind of …
Persistent link: https://www.econbiz.de/10012293646