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Implications of asymmetry risk for portfolio analysis and asset pricing
Chabi-Yo, Fousseni (contributor);  … - 2007
Asymmetric shocks are common in markets; securities'; payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem...
Persistent link: https://www.econbiz.de/10003560573
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The puzzling evolution of the home bias, information processing and financial openness
Mondria, Jordi; Wu, Thomas Yen Hon - 2007
This paper presents a rational expectations model of asset prices with rationally inattentive investors that, unlike previous papers, explains both the substantial amount of equity wealth invested domestically and the puzzling time series behavior of the home bias - an initial plateau before...
Persistent link: https://www.econbiz.de/10003855480
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Informed Momentum Trading versus Uninformed 'Naive' Investors Strategies
Banerjee, Anurag Narayan - 2011
. The score function thus constructed is invariant and robust to risk factor models. We find that the average scores of the …
Persistent link: https://www.econbiz.de/10013134012
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Loss Aversion, Asymmetric Market Comovements, and the Home Bias
Carvalho, Carlos - 2011
Loss aversion has been used to explain why a high equity premium might be consistent with plausible levels of risk … to behave similarly to investors with high risk aversion. But if so, should those agents not perceive larger gains from … international diversification than standard expected-utility investors with plausible levels of risk aversion? They might not …
Persistent link: https://www.econbiz.de/10013119456
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Asymmetric Information and the Lack of International Portfolio Diversification
Hatchondo, Juan Carlos - 2012
There is pervasive evidence that individuals invest primarily in domestic assets and thus hold poorly diversified portfolios. Empirical studies suggest that informational asymmetries may play a role in explaining the bias towards domestic assets. In contrast, theoretical studies based on...
Persistent link: https://www.econbiz.de/10013096987
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Asymmetric Information, Trading Volume, and Portfolio Performance
Jackson, Antony - 2013
'. Volatility timing is shown to consistently outperform naive diversification on a risk-adjusted basis …
Persistent link: https://www.econbiz.de/10013081590
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Information Immobility and Foreign Portfolio Investment
Andrade, Sandro C. - 2009
We examine how residents of the United States allocate their stock portfolios internationally. We find that a large U.S. Foreign Direct Investment (FDI) position in a destination country in 1990 is associated with a relatively large stock portfolio position in that country in the 2001-2006...
Persistent link: https://www.econbiz.de/10013155774
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A Portfolio Optimization Approach to Identifying Private Information
Bongaerts, Dion - 2018
We propose a portfolio optimization approach to identifying private information. In our model, investors are exposed to liquidity and private information shocks and optimize their trading across stocks taking into account price impact (Kyle's Lambda). We obtain a very simple expression for a...
Persistent link: https://www.econbiz.de/10012937639
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To Trade or Not to Trade? Informed Trading with Short-Term Signals for Long-Term Investors
Israelov, Roni - 2017
When a long-term investor trades a slowly changing portfolio, she is not very time sensitive to when she should place or modify her bet. Short-term information can be used to guide the investor on how to time her trades. Strategic trade modification provides exposure to short-term signals...
Persistent link: https://www.econbiz.de/10012976600
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Banks as Secret Keepers
Dang, Tri Vi - 2016
Banks produce short-term debt for transactions and storing value. The value of bank money must not vary over time so agents can easily trade this debt at par. This requires that no agent finds it profitable to produce costly private information about the bank's loans. To produce safe liquidity...
Persistent link: https://www.econbiz.de/10013006295