It has been widely studied that investors suffer from the tendency to realize gains too quickly, while carrying losses too long --- also known as the disposition effect. Previous research on the phenomenon finds that there is a substantial heterogeneity with regards to the magnitude of...

In this study we develop a trading strategy that exploits limited investor attention. Trading signals for US S&P 500 stocks are derived from Google Search Volume data, taking a long position if investor attention for the corresponding security was abnormally low in the past week. Our strategy...

This study provides novel insights to the ongoing debate how market efficiency is challenged by investor behavior. Applying search engine data we find that retail investor attention can enhance market efficiency. High attention is associated with better incorporation of idiosyncratic stock...

Current discussions about public and private pension plans often state that the stock market is less risky in the long run than in the short run. Pension plans with their rather long planning horizon are therefore asked to increase the allocation to the stock market. Such statements, however,...

Das Anlageverhalten von Privatinvestoren unterscheidet sich teilweise markant von Voraussagen, die aufgrund von Modellen der Portfolioselektion getroffen werden können. So sind zum Beispiel Portfolios häufig nicht breit diversifiziert, weder bezüglich der Anzahl Titel noch bezüglich der...

This study questions the rationality of people investing in HFs. I use a sample of London listed closed-end hedge funds to evaluate two criteria that imply irrational behavior. I find that the rationality of investors can not be rejected for the majority of time. However, the results also imply...

Das Anlageverhalten von Privatinvestoren unterscheidet sich teilweise markant vonden Voraussagen, welche man aufgrund von Modellen der Portfolioselektion anstellenwürde: so sind beispielsweise Portfolios häufig nicht breit diversifiziert, weder bezüglichder Anzahl der Titel noch bezüglich...

Current discussions about public and private pension plans often state that the stock market is less risky in the long run than in the short run. Pension plans with their rather long planning horizon are therefore asked to increase the allocation to the stock market. Such statements, however,...