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Loss aversion, overconfidence of investors and their impact on market performance evidence from the US stock markets

Bouteska, Ahmed; Regaieg, Boutheina - In: Journal of economics, finance & administrative science 25 (2020) 50, pp. 451-478

Purpose - The current study aims to investigate the impacts of two behavioral biases, namely, loss aversion and … overconfidence on the performance of US companies. First, the impact of loss aversion on the economic performance of companies was … study. Findings - It was documented that the loss-aversion bias negatively affects the economic performance of companies and …

Persistent link: https://www.econbiz.de/10012434081

Institutional investors and equity prices : information, behavioral bias and arbitrage

Han, Bing; Kong, Dongmin - 2017

This paper investigates how institutional investors matter for asset pricing by using daily institutional trading data and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert their non-tradable shares to tradable shares after...

Persistent link: https://www.econbiz.de/10011646414

Financial loss aversion illusion

Merkle, Christoph - In: Review of finance : journal of the European Finance … 24 (2020) 2, pp. 381-413

Persistent link: https://www.econbiz.de/10012194936

The private equity premium puzzle : a behaviooural finance approach

Hamelin, Anaïs; Pfiffelmann, Marie - In: International journal of entrepreneurship and small business 24 (2015) 3, pp. 335-356

Persistent link: https://www.econbiz.de/10011400372

Prospect Theory and Currency Returns : Empirical Evidence

Xu, Qi - 2020

We empirically investigate the role of prospect theory in the foreign exchange market. Using the historical distribution of exchange rate changes, we construct a currency-level measure of prospect theory value and find that it negatively forecasts future currency excess returns. High prospect...

Persistent link: https://www.econbiz.de/10012830960

Do investors overpay for stocks with lottery-like payoffs? : an examination of the returns of OTC stocks

Eraker, Bjørn; Ready, Mark J. - In: Journal of financial economics 115 (2015) 3, pp. 486-504

Persistent link: https://www.econbiz.de/10011347448

Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?

Gibson, Rajna; Wang, Songtao - 2008

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...

Persistent link: https://www.econbiz.de/10003966170

The Dynamics of Average Mutual Fund Alphas

Budiono, Diana - 2009

The average alpha of mutual funds is an indication of whether it pays off to invest in actively managed funds. In this study we show that a substantial part of the variation in the average alpha can be explained by exogenous factors. The most important factors are the average expense ratio, the...

Persistent link: https://www.econbiz.de/10013153163

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...

Persistent link: https://www.econbiz.de/10012910534

Actively Managed Mutual Funds Holding Passive Investments : What Do ETF Positions Tell Us About Mutual Fund Ability?

Sherrill, Eli - 2017

We provide the first in-depth examination of exchange-traded funds (ETFs) within actively managed mutual fund (AMMF) portfolios to better understand why AMMFs make substantial investments in passive ETFs. We examine the association between holding ETF positions and AMMF performance, as well as...

Persistent link: https://www.econbiz.de/10012970338

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