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By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...
Persistent link: https://www.econbiz.de/10009516904
Considerable attention has been devoted in the financial literature to excessive portfolio concentrations in domestic risky assets relative to those predicted by standard finance models – generally identified as “home bias” – across international markets. The innovation we offer is...
Persistent link: https://www.econbiz.de/10013138033
Considerable attention has been devoted in the financial literature to excessive portfolio concentrations in domestic risky assets relative to those predicted by standard finance models – generally identified as “home bias” – across international markets. The innovation we offer is...
Persistent link: https://www.econbiz.de/10013139178
Asset owners (principals) typically do not manage their own investments and leave this job to delegated managers (agents). What is best for the asset owner, however, is usually not best for the fund manager. Additional agency conflicts arise when the asset owner does not know the quality and...
Persistent link: https://www.econbiz.de/10013103917
In dealership markets, asymmetric information feeds through to higher transaction costs as dealers adjust their bid-ask spreads to compensate for anticipated losses. In this paper, we show that the presence of asymmetric information can also provide a positive externality to those market...
Persistent link: https://www.econbiz.de/10013081590
We construct a sentiment index with the incorporation of representative proxies in the Taiwan Stock Market and investigate the application of a cross-section of stock returns. The major contribution of the study is that the huge Chinese financial news related to each listed stock is collected...
Persistent link: https://www.econbiz.de/10013084067
In this study, we employ a statistical arbitrage approach to demonstrate that momentum investment strategy tend to work better in periods longer than six months, a result different from findings in past literature. Compared with standard parametric tests, the statistical arbitrage method...
Persistent link: https://www.econbiz.de/10013091434
The effect of self-default on the valuation of liabilities and derivatives (DVA) has been widely discussed but the effect on assets has not received similar attention. Any asset whose value depends on the status, or existence, of the firm will have a DVA. We extend Burgard&Kjaer (2011) to...
Persistent link: https://www.econbiz.de/10013064689
We first develop a theory-based metric to judge the popularity of value-weighting in a stock market. We then use our metric to document that although value-weighting is less popular in emerging markets than in developed markets, its popularity is increasing almost everywhere. Finally, as we have...
Persistent link: https://www.econbiz.de/10013070433
We propose a model of asset management in which benchmarking arises endogenously, and analyze its unintended welfare consequences. Fund managers' portfolios are unobservable and they incur private costs in running them. Conditioning managers' compensation on a benchmark portfolio's performance...
Persistent link: https://www.econbiz.de/10012837972