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Frazzini, Andrea - 2020

Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...

Persistent link: https://www.econbiz.de/10012837946

Informed Momentum Trading versus Uninformed 'Naive' Investors Strategies

Banerjee, Anurag Narayan - 2011

We construct a zero-net-worth uninformed "naive investor" who uses a random portfolio allocation strategy. We then compare the returns of the momentum strategist to the return distribution of naive investors. For this purpose we reward momentum profits relative to the return percentiles of the...

Persistent link: https://www.econbiz.de/10013134012

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

The Role of Market Sentiment in Asset Allocations and Stock Returns

Hilliard, Jitka - 2019

We investigate the role of mutual fund flows in incorporating market sentiment into asset prices. We show that retail investors adjust their investments among mutual fund categories in response to changes in market sentiment. Consistent with sentiment-induced price pressure through fund flows,...

Persistent link: https://www.econbiz.de/10012903687

Investor PSY-chology Surrounding 'Gangnam Style'

Kim, Y. Han (Andy) - 2017

, the attention drove up the stock price by 800% without information on the stock's fundamentals …

Persistent link: https://www.econbiz.de/10012974176

Market-wide Misvaluation and the Value Premium

Cassella, Stefano; Chen, Zhaojing; Gulen, Huseyin; … - 2021

We show that the magnitude of the value premium over 1968-2018 is conditional on states of aggregate market-wide misvaluation. The value premium is 3.42% per month following market-wide undervaluation and 1.70% per month following market-wide overvaluation. When the aggregate market is neither...

Persistent link: https://www.econbiz.de/10013222336

Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market …

Persistent link: https://www.econbiz.de/10013334839

Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio

White, James - 2020

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...

Persistent link: https://www.econbiz.de/10012838940

Re-Evaluating the Value of Modern Portfolio Theory and Asset Pricing Models Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm

Otuteye, Eben - 2017

Modern Portfolio Theory, the Capital Asset Pricing Model, and the Efficient Market Hypothesis are cornerstone concepts …

Persistent link: https://www.econbiz.de/10012954957

In Search of Alpha - Trading on Limited Investor Attention

Storms, Konstantin - 2015

In this study we develop a trading strategy that exploits limited investor attention. Trading signals for US S&P 500 stocks are derived from Google Search Volume data, taking a long position if investor attention for the corresponding security was abnormally low in the past week. Our strategy...

Persistent link: https://www.econbiz.de/10013013409

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