In this review paper we recall a dynamic stochastic accumulation model for determining optimal decision between stock and bond investments during accumulation of pension savings. The model has been proposed and analyzed by the authors. We assume stock prices to be driven by a geometric Brownian...

During the last quarter of 2008, state pension funds fell in value by approximately $350 billion. Depending on the state, the losses were equivalent to as little as 12% of the own revenue (taxes, fees, and charges) generated by the state government in the previous fiscal year, or as much as 68%....

We extract the news component of short-selling activity by accounting for important cross-sectional, distributional differences in short interest data. The resulting measure of surprise in short interest negatively predicts the cross section of both U.S. and international equity returns. Our...

This study aims to determine the significant influence of SBI interest rate, inflation rate, stock price index and foreign exchange (KLSI and HSI) on return of equity mutual funds of 2008-2012 periods. From the calculation results as follows: a) SBI rate, inflation rate, stock price index and...

We find that anomaly returns are generally unchanged during FOMC days, though a small group of anomalies may have substantial changes. But if they do, their changes exacerbate pricing errors. Hence, our evidence challenges existing studies that find that the CAPM performs better over the FOMC...

Active fee is the ratio between the excess cost of active management over the index alternative and the fund's activity level. We suggest a simple model that explains active capital allocations in the presence of time-varying active fee. We show that investors respond in accordance with the...

This stochastic simulation analysis examines the risk characteristics of target-date funds focusing on the trade-offs between wealth creation and security. The dynamic portfolio adjustment of marketed target-date funds, with varied asset allocations, along age and various time horizons is shown....

We find that crowds' analyses of stocks, disclosed on a social trading platform, provide explanatory power for stock returns. Exploiting a novel dataset that contains more than 14.9 million individual stock assessments for 10,452 stocks over the period from August 1, 2007, to July 15, 2015, our...

Human capital comprises a substantial portion of global wealth, but equity claims to human capital are not publicly traded. I analyze ten transactions between April 2014 and July 2016 in which ten active players in the National Football League (NFL) sell equity claims to their future labor...