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Smoking hot portfolios? : self-control and investor decisions

Uhr, Charline; Meyer, Steffen; Hackethal, Andreas - 2019

Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions but cannot be measured bias-free. We link the time-series of government-controlled tobacco prices to debit/credit card transaction histories to identify smoking as a proxy for...

Persistent link: https://www.econbiz.de/10012062176

Asset Allocations in a Thai Defined Contribution Fund : A Behavioural Experiment Conditioned on Financial Expertise

Budsaratragoon, Pornanong - 2015

This paper reports the results of a behavioural finance experiment on the ability of Thai individuals to make informed … strong preferences for time liquidity diversification, provide challenges for TGPF managers to increase their financial …

Persistent link: https://www.econbiz.de/10013013392

Investor Sophistication and the Home Bias, Diversification, and Employer Stock Puzzles

Kimball, Miles S. - 2010

diversification, and holdings of an employer's stock. We find that each of these variables is correlated with sophistication, with …

Persistent link: https://www.econbiz.de/10013146631

Diversification Decisions of Individual Investors and Asset Prices

Kumar, Alok - 2022

This paper examines the relation between equity portfolio diversification choices of individual investors and stock … diversification clientele based portfolios can explain cross-sectional variations in returns for a considerable subset of stocks. The … diversification choices of individual investors influence stock returns …

Persistent link: https://www.econbiz.de/10014236135

Do investors experience heuristics in earnings forecasting?

Praditha, Riza; Haliah, Haliah; Habbe, Abdul Hamid; … - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 21 (2020) 2, pp. 686-694

-adjustment influences experienced by investors in forecasting future earnings. This research was a laboratory experiment with a design of 2x …

Persistent link: https://www.econbiz.de/10012502444

Skewness expectations and portfolio choice

Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian - 2022

Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad...

Persistent link: https://www.econbiz.de/10012805556

The return expectations of institutional investors

Andonov, Aleksandar; Rauh, Joshua - 2019

Analysis of required expected return disclosures by public pension funds in individual asset classes reveals a reliance on past performance in setting return expectations. These extrapolative expectations operate through the expected risk premium and occur across all risky asset classes. Pension...

Persistent link: https://www.econbiz.de/10011976289

Reference-Dependent Return Chasing : Alpha, Gains and Fund Flows

Brunner, Fabian - 2019

How mutual fund investors chase performance (alpha) with their money is strongly mediated by the nominal price gain or loss that they hold the fund at. For high alpha funds, the investment response to alpha is increased by as much as 50% if the fund is held at a gain as opposed to a loss...

Persistent link: https://www.econbiz.de/10012897839

Non-fundamental demand and style returns

Ben-David, Itzhak; Li, Jiacui; Rossi, Andrea; Song, Yang - 2020

We show that mutual fund ratings generate correlated demand that creates systematic price fluctuations. Mutual fund investors chase fund performance via Morningstar ratings. Until June 2002, funds pursuing the same investment style had highly correlated ratings. Therefore, rating-chasing...

Persistent link: https://www.econbiz.de/10012388379

Social-Media Sentiment, Portfolio Complexity, and Stock Returns

Leung, Woon Sau - 2020

Using tweets from StockTwits and machine-learning classification techniques, we find that social-media sentiment predicts positively and significantly future stock returns, and, importantly, such positive predictability decreases when the number of stocks users follow increases. The return...

Persistent link: https://www.econbiz.de/10012846597

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