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Who is the Biggest Investor in the Stock Market, and Why Should You Care?
White, James; Haghani, Victor - 2021
The US Treasury effectively ”owns” about 24% of the stocks held by high income US taxable investors. Through the capital gains tax, Uncle Sam has an effective exposure of more than $1 trillion of equities. And this huge-but-silent investor might be about to get a lot bigger if capital gains...
Persistent link: https://www.econbiz.de/10013235049
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Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio
White, James - 2020
There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...
Persistent link: https://www.econbiz.de/10012838940
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The momentum effect exemplifies the influence of investors' irrational behaviour on prices of shares and stocks : an analysis of the momentum effect on the Warsaw Stock Exchange
Merło, Paweł; Konarzewski, Patryk - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 56-64
An efficient market should not show any anomalies. When new information reaches a market which is efficient, it should automatically translate into prices of assets, which ought to eliminate the possibility of gaining an advantage over other investors, thus preventing excess profits. However,...
Persistent link: https://www.econbiz.de/10011393280
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Securities Regulation, Household Equity Ownership, and Trust in the Stock Market
Christensen, Hans Bonde - 2019
Using aggregate data from national accounts, we study whether strengthening and harmonizing securities regulation across the European Union increases household equity ownership. We find a significant increase in the proportion of liquid assets invested in equity, both when a household's own...
Persistent link: https://www.econbiz.de/10012900693
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Cognitive Biases in Investors' Behaviour under Stress : Evidence from the London Stock Exchange
Philippas, Dionisis - 2017
The paper examines the implications arising from the effect of two cognitive biases, representativeness and conservatism, for securities price behaviour on the London Stock Exchange. In a single- and multi-factor framework of abnormal returns, the aspects of trend and consistency in the...
Persistent link: https://www.econbiz.de/10012970387
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Alphabetic Bias, Investor Recognition, and Trading Behavior
Jacobs, Heiko - 2016
the beginning of an alphabetical listing. This paper is the first to explore the implications of this alphabetic bias in …
Persistent link: https://www.econbiz.de/10013006756
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Implied rates of return, the discount rate effect, and market risk premia
Breuer, Wolfgang; Gürtler, Marc - 2010 - This Version: 2010-10-22
risk premia. The extent of this bias is substantial as verified by a bootstrap approach. We present an alternative … estimation equation for future expected one-period returns based on current and past implied rates of return that is superior to … simple estimators based on historical returns. The reason for this superiority is a lower variance of estimation results and …
Persistent link: https://www.econbiz.de/10009487229
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The Impact of Stock Market Volatility Expectations on Investor Behavior : Evidence From Aggregate Mutual Fund Flows
Ederington, Louis H. - 2011
We find that aggregate net equity fund flows are strongly negatively correlated with changes in expected future stock market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale decisions by risk perceptions, we further find that...
Persistent link: https://www.econbiz.de/10013128717
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Short Term Momentum and Contrarian Profits on the Bucharest Stock Exchange Before and During the Global Crisis
Stefanescu, Razvan - 2012
This paper explores the opportunities of momentum and contrarian profits on the Bucharest Stock Exchange during quiet and turbulent times. In our investigation we employ daily values of the main indexes from the Bucharest Stock Exchange for two periods of time. During the first period, from...
Persistent link: https://www.econbiz.de/10013100305
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Stock market participation puzzle in emerging economies : the case of lithuania
Mauricas, Žygimantas; Darškuvienė, Valdonė; … - In: Organizations and markets in emerging economies 8 (2017) 2, pp. 225-243
We examine underlying factors that explain an exceptionally low stock market participation rate among Lithuanian households by carrying out a comprehensive survey of mass affluent individuals. The probit regression analysis of the survey results indicates that lack of financial literacy, low...
Persistent link: https://www.econbiz.de/10012193944