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Return Chasing and Trend Following : Superficial Similarities Mask Fundamental Differences
Haghani, Victor - 2016
. Finally, it shows that if the trading flows of return chasers are large enough to impact prices, then return chasing provides …
Persistent link: https://www.econbiz.de/10013000954
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Dynamic Risk-Aware Yield Search : A Useful Tool for Fixed Income Investors
Chakravorty, Gaurav - 2019
Fixed income investors favor higher yields with lower risk. Our objective in this paper is to outline an active fixed income strategy that maximizes yield and is protected against major risk factors affecting fixed income securities. In particular, we look at interest rate risk, credit risk,...
Persistent link: https://www.econbiz.de/10012893781
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If George Costanza Were a Hedge Fund Manager
White, James - 2019
Continuously rebalanced long-short trades are similar to highly levered trades in that their PNL profile depends not only on the final distribution of return, but also on the realized co-variance structure of the asset pair. It's easily possible for both orientations of a rebalanced long-short...
Persistent link: https://www.econbiz.de/10012894939
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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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Evolution and market behavior with endogenous investment rules
Bottazzi, Giulio; Dindo, Pietro - 2010
investment rules that depend on endogenously determined current and past prices. We find that market instability, leading to …, conditioning investment decisions on asset prices implies that dominance of an investment rule on others, as measured by the … relative entropy, can be different at different prevailing prices thus reducing the global selective capability of the market …
Persistent link: https://www.econbiz.de/10008729026
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Selection in asset markets : the good, the bad, and the unknown
Bottazzi, Giulio; Dindo, Pietro - 2011
, then market rewards the best informed agent. As a result asset prices eventually reflect this information and the market … unitary coefficients, anything can happen and the informational content of long-run prices strongly depend on the ecology of …
Persistent link: https://www.econbiz.de/10009009683
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Unleashing animal spirits : self-control and overpricing in experimental asset markets
Kocher, Martin; Lucks, Konstantin E.; Schindler, David - 2016
One possible determinant of overpricing on asset markets is a lack of self-control abilities of traders. Self-control is the individual capacity to override or inhibit undesired behavioral tendencies such as impulses and to refrain from acting on them. We implement the first experiment that is...
Persistent link: https://www.econbiz.de/10011438254
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Unleashing animal spirits : self-control and overpricing in experimental asset markets
Kocher, Martin; Lucks, Konstantin E.; Schindler, David - 2016
One possible determinant of overpricing on asset markets is a lack of self-control abilities of traders. Self-control is the individual capacity to override or inhibit undesired behavioral tendencies such as impulses and to refrain from acting on them. We implement the first experiment that is...
Persistent link: https://www.econbiz.de/10011444434
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Fund flows inducing mispricing of risk in competitive financial markets
Stahmer, Axel - 2015
opportunities. The Large Fund Industry model derives market prices for risk and analyzes the resulting price distortions in …
Persistent link: https://www.econbiz.de/10011389297
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Fiduciary Finance : Investment Funds and the Crisis in Financial Markets
Gold, Martin - 2012
This multi-faceted analysis of institutional investment defines fiduciary finance institutions as the third pillar of the financial system, alongside banks and insurers. It documents the role played by investment funds and the money management industry during the recent financial crisis, and...
Persistent link: https://www.econbiz.de/10013115823