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Stock Return Predictability and the Drift Between the Outcomes of Portfolio Investment Strategies
De Wit, Dirk P.M. - 2013
Anomalies found in tests of market efficiency do not necessarily imply that security prices do not reflect all available information, as the asset-pricing model used to describe the return generating process might also be false. In the present study, this joint hypothesis problem does not arise,...
Persistent link: https://www.econbiz.de/10013082290
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Infrequent random portfolio decisions in an open economy model
Bacchetta, Philippe; Van Wincoop, Eric; Young, Eric R. - 2021
We introduce a portfolio friction in a two-country DSGE model where investors face a constant probability to make new portfolio decisions. The friction leads to a more gradual portfolio adjustment to shocks and a weaker portfolio response to changes in expected excess returns. We apply the model...
Persistent link: https://www.econbiz.de/10012801368
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Herding by foreign institutional investors : an evidential exploration for persistence and predictability
Chattopadhyay, Manojit; Garg, Ashish Kumar; Mitra, … - In: The journal of behavioral finance : a publication of … 19 (2018) 1, pp. 73-88
Persistent link: https://www.econbiz.de/10012009628
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Infrequent random portfolio decisions in an open economy model
Bacchetta, Philippe; Van Wincoop, Eric; Young, Eric R. - In: The review of economic studies : RES 90 (2023) 3, pp. 1125-1154
Persistent link: https://www.econbiz.de/10014320205
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Real-Estate Return Predictability and the Drift Between the Outcomes of Portfolio Investment Strategies
De Wit, Dirk P.M. - 2018
Little evidence exists to support or reject the notion of an efficient real-estate market. The present paper investigates various potential sources of real-estate return predictability. Several common types of indexes are constructed from property-specific data in the annual reports of Rodamco,...
Persistent link: https://www.econbiz.de/10012916269
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Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals
Karavias, Yiannis; Spilioti, Stella; Tzavalis, Elias - In: Review of quantitative finance and accounting 56 (2021) 4, pp. 1593-1621
Persistent link: https://www.econbiz.de/10012549879
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Aggregate expected investment growth and stock market returns
Li, Jun; Wang, Huijun; Yu, Jianfeng - In: Journal of monetary economics 117 (2021), pp. 618-638
Persistent link: https://www.econbiz.de/10012603192
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Extrapolative Asset Pricing
Li, Kai - 2020
We study asset pricing implications of return extrapolation in a Lucas economy. We find that the effect of extrapolation is mainly on short rates rather than risk premia, time variation in expected returns is mainly driven by time-varying short rates, and return volatility can be lower than...
Persistent link: https://www.econbiz.de/10012852947
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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
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Factor investing : alpha concentration versus diversification
Heinrich, Lars; Shivarova, Antoniya; Zurek, Martin - In: The journal of asset management : a major new, … 22 (2021) 6, pp. 464-487
Persistent link: https://www.econbiz.de/10012659821