Showing 1 - 10 of 12,948
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
This paper examines the empirical validity of Nicolosi's optimal strategy for a hedge fund manager under a specific payment contract. The contract specifies that the manager's payment consists of a fixed payment and a variable payment, which is a performance-based payment. The model assumes that...
Persistent link: https://www.econbiz.de/10012650294
Individual investors select high-fee index mutual funds despite the fact that the future payouts are nearly identical. We offer an explanation for this violation of the Law of One Price based on investor desire to diversify. While diversification in some settings may be beneficial, in the case...
Persistent link: https://www.econbiz.de/10013005429
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant (state-independent) setting corresponds to the optimum for an...
Persistent link: https://www.econbiz.de/10013034282
Socially responsible investment (SRI) is increasingly prevalent in financial markets and is characterized by the integration of financial and nonfinancial objectives. This paper investigates the influence of wealth concerns and moral concerns on individual investors' decisions to invest...
Persistent link: https://www.econbiz.de/10013036984
We present an experiment that investigates the effect of the fee structure and past returns on mutual fund choice. We find that subjects pay too little attention to the (periodic and small) operation expenses fee, but the more salient front-end load is used as a commitment device and leads to...
Persistent link: https://www.econbiz.de/10013037051
This paper examines the empirical validity of Nicolosi's model (2018) which investigates the optimal strategy for a hedge fund manager under a specific payment contract. The contract specifies that the manager's payment consists of a fixed payment and a variable payment, which is based on the...
Persistent link: https://www.econbiz.de/10012869666
We develop a new theory of delegated investment whereby managers compete in terms of composition of the portfolios they … portfolios closer to Arrow-Debreu securities (as in the theory) and who had better recent performance (an observation unrelated … to theory) …
Persistent link: https://www.econbiz.de/10013116268
of traditional finance theory. Even after controlling for market segmentation and “investability” of foreign markets … market uncertainty. My empirical hypotheses are based on a psychological theory that relates uncertainty in the markets to …
Persistent link: https://www.econbiz.de/10013083023
The question of optimal presentation format and choice architecture for investment decisions has gained momentum among researchers, policy makers, and practitioners alike. Motivated by the question how to provide information to investors in a way to improve financial decision-making, we conduct...
Persistent link: https://www.econbiz.de/10013230922