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Effects of a capital gains tax on asset pricing
Krause, Marko Volker - In: Business research 11 (2018) 1, pp. 115-148
I extend and generalize the work of Kruschwitz and Löffler (BuR—Business Research 2(2):171–178, 2009). I find that, with a zero risk-free rate, the implicit price of capital gains tax payments is zero. I provide conditions in stochastic discount factor language when a capital gains tax has...
Persistent link: https://www.econbiz.de/10011814856
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Rebuttal: the market portfolio is bigger than you think
Siegel, Laurence B. - In: The journal of investing : JOI 30 (2021) 5, pp. 21-26
Persistent link: https://www.econbiz.de/10012613138
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Frontier stock markets : local versus global factors
Blackburn, Douglas W.; Cakici, Nusret - In: The journal of investing : JOI 29 (2020) 3, pp. 108-127
Persistent link: https://www.econbiz.de/10013177807
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Time-series efficient factors
Ehsani, Sina; Linnainmaa, Juhani - 2020
Factors in prominent asset pricing models are positively autocorrelated. We derive a transformation that turns an … autocorrelated factor to a ``time-series efficient'' factor. Time-series efficient factors earn significantly higher Sharpe ratios … than the original factors and contain all the information found in the original factors. Momentum strategies profit from …
Persistent link: https://www.econbiz.de/10012244867
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Portfolio selection with narrow framing : probability weighting matters
De Giorgi, Enrico; Legg, Shane - 2009 - This version: June 9, 2009
and a convex-concave value function reinforces previous applications of narrow framing and cumulative prospect theory to …
Persistent link: https://www.econbiz.de/10003970464
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Prices and portfolio choices in financial markets : theory, econometrics, experiments
Bossaerts, Peter L. (contributor);  … - 2007
Many tests of asset pricing models address only the pricing predictions - but these pricing predictions rest on portfolio choice predictions which seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices, based on unobserved heterogeneity. This approach...
Persistent link: https://www.econbiz.de/10003549745
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Bond ladders and optimal portfolios
Judd, Kenneth L.; Kubler, Felix; Schmedders, Karl - 2009
Many bond portfolio managers argue that bond laddering tends to outperform other bond investment strategies because it reduces both market price risk and reinvestment risk for a bond portfolio in the presence of interest rate uncertainty. Despite the popularity of bond ladders as a strategy for...
Persistent link: https://www.econbiz.de/10003966082
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Stress testing by financial intermediaries : implications for portfolio selection and asset pricing
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of financial intermediation 18 (2009) 1, pp. 65-92
Persistent link: https://www.econbiz.de/10003813182
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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
Following Levy and Roll [2010], we posit that the market portfolio is the efficient tangent Markowitz portfolio, i.e., it is mean-variance efficient. We then reverse engineer the expected returns and variance terms with constraints imposed by empirical data on a hierarchy of asset baskets. This...
Persistent link: https://www.econbiz.de/10009009611
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Selection in asset markets : the good, the bad, and the unknown
Bottazzi, Giulio; Dindo, Pietro - 2011
We provide simple examples to illustrate how wealth-driven selection works in asset markets. Our examples deliver both good and bad news. The good news is that if individual assets demands are expressed as a fractions of wealth to be invested in each asset, e.g. because traders maximize an...
Persistent link: https://www.econbiz.de/10009009683