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Individual investors and suboptimal early exercises in the fixed-income market
Eickholt, Mathias; Entrop, Oliver; Wilkens, Marco - 2014
This paper is the first to analyze and value early exercises of Individual Investors in fixed-income investment products. Assuming decision and transaction costs we consider that a continuous decision-making on holding or exercising is not optimal anymore and propose a new approach to modeling...
Persistent link: https://www.econbiz.de/10010412103
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Applying the Teachings of Behavioural Finance to Risk Arbitrage Strategy
Dieudonne, Stephane - 2012
associate both behavioural finance and the alternative strategy of risk arbitrage.In this document, we therefore propose to … concrete examples drawn from the experience of our risk arbitrage management team. We conclude by showing that behavioural … finance can be a precious tool in the management of a risk arbitrage portfolio …
Persistent link: https://www.econbiz.de/10013099584
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The Limits of Arbitrage and Stock Mispricing : Evidence from Decomposing the Market to Book Ratio
Al-Shammasi, Naji - 2017
We investigate how security specific mispricing may persist under limits to arbitrage; specifically, when arbitragers …
Persistent link: https://www.econbiz.de/10012968811
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Do limits to arbitrage explain the benefits of volatility-managed portfolios?
Barroso, Pedro; Detzel, Andrew - In: Journal of financial economics 140 (2021) 3, pp. 744-767
Persistent link: https://www.econbiz.de/10013259593
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Investor sentiment, limited arbitrage, and the cash holding effect
Li, Xiafei; Luo, Di - In: Review of finance : journal of the European Finance … 21 (2017) 6, pp. 2141-2168
Persistent link: https://www.econbiz.de/10011804685
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Long-run heterogeneity in an exchange economy with fixed-mix traders
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2015
We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main...
Persistent link: https://www.econbiz.de/10011386757
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On the evolutionary stability of the sentiment investor
Antico, Andrea; Bottazzi, Giulio; Giachini, Daniele - 2022
The behavioural finance literature attributes the persistent market misvaluation observed in real data to the presence of deviations from rational thinking of the actors involved. Cognitive biases and the use of simple heuristics can be described using expected utility maximising agents that...
Persistent link: https://www.econbiz.de/10013161531
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Long-Run Heterogeneity in an Exchange Economy with Fixed-Mix Traders
Bottazzi, Giulio - 2016
We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main...
Persistent link: https://www.econbiz.de/10013002595
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Strategically biased learning in market interactions
Bottazzi, Giulio; Giachini, Daniele - 2022
We consider a market economy where two rational agents are able to learn the distribution of future events. In this context, we study whether moving away from the standard Bayesian belief updating, in the sense of under-reaction to some degree to new information, may be strategically convenient...
Persistent link: https://www.econbiz.de/10012797563
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Momentum and Reversal in Financial Markets with Persistent Heterogeneity
Bottazzi, Giulio - 2018
This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...
Persistent link: https://www.econbiz.de/10012927582