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Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices
Buffa, Andrea M - 2018
benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …
Persistent link: https://www.econbiz.de/10012910534
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Recursive portfolio selection with decision trees
Andriyashin, Anton (contributor);  … - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10003636039
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The acceleration effect and gamma factor in asset pricing
Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....
Persistent link: https://www.econbiz.de/10011411974
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Fund flows inducing mispricing of risk in competitive financial markets
Stahmer, Axel - 2015
This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...
Persistent link: https://www.econbiz.de/10011389297
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Analysis of Behavior of Mutual Fund Returns - With Special Reference to Equity Schemes
Vimala, Dr.S. - 2011
Mutual fund is an investment company or trust that pools the resources from thousands of its unit holders, who share common investment goal, and then diversifies its investments into different types of securities in order to realize potential returns with reasonable safety.The objective of the...
Persistent link: https://www.econbiz.de/10013131565
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Long-Term Tactical Asset Allocation
Guo, Jinqiang - 2012
This paper evaluates a long-term tactical asset allocation strategy that takes advantages of perceived short-term opportunities in the capital market while benchmarked against the long-term strategic portfolio. The portfolio strategy makes the portfolio weights depend directly on changes in...
Persistent link: https://www.econbiz.de/10013115829
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Credit-Informed Tactical Asset Allocation
Klein, David - 2011
This paper outlines a tactical asset allocation (TAA) strategy that takes signals from the credit markets and applies them to the stock market. A power model is built using the Russell 2000 equity index and the Bank of America/Merrill Lynch High Yield B index. This model is then used in a...
Persistent link: https://www.econbiz.de/10013123320
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On Risks and Opportunities in Financial Markets
Lansdorp, Simon - 2013
Investing in financial securities inevitably involves risks on the one hand and opportunities on the other hand. This thesis bundles four different studies on risks and/or opportunities in financial markets. In one study, we examine the cross-sectional explanatory power of different...
Persistent link: https://www.econbiz.de/10013084879
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When Risk and Return are Not Enough : The Role of Loss Aversion in Private Investors' Choice of Mutual Fund Fee Structures
Ehm, Christian - 2014
performance fees even though these funds may be more expensive. According to agency theory, performance fees could incentivize … Prospect Theory preferences can help explain the emergence of certain financial products beyond other "classical" explanations …
Persistent link: https://www.econbiz.de/10013064139
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Testing Excess Returns from Passive Options Investment Strategies
Dapena, José Pablo - 2017
When analyzing options returns, most papers tend to focus on the expected and realized return from strategies where the investors are long on those financial instruments. We conduct a test searching for excess returns on passive options investment strategies resorting to a four factor model,...
Persistent link: https://www.econbiz.de/10012952634