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Affective Utilities: A Rational Theory of Optimistic Bias in Asset Markets
Bracha, Anat; Brown, Donald J. - Cowles Foundation for Research in Economics, Yale University - 2013
, defined as the composition of the investor's attitudes for risk and her attitudes for ambiguity. Bulls and bears are defined …
Persistent link: https://www.econbiz.de/10010895651
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(Ir)rational Exuberance : Optimism, Ambiguity, and Risk
Bracha, Anat - 2013
pessimism, defined as the composition of the investor's preferences for risk and her preferences for ambiguity. Bulls and bears …
Persistent link: https://www.econbiz.de/10013080387
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Do investors put their money where their mouth is? Stock market expectations and investing behavior
Merkle, Christoph; Weber, Martin - In: Journal of Banking & Finance 46 (2014) C, pp. 372-386
To understand how real investors use their beliefs and preferences in investing decisions, we examine a panel survey of self-directed online investors at a UK bank. The survey asks for return expectations, risk expectations, and risk tolerance of these investors in three-month intervals between...
Persistent link: https://www.econbiz.de/10010907106
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Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
Lv, Wujun; Pang, Tao; Xia, Xiaobao; Yan, Jingzhou - In: Financial innovation : FIN 9 (2023) 1, pp. 1-28
problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity … conclusions in both markets: first, price diffusion and jump ambiguity mainly determine detection-error probability; second …, optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity, and trivially affected by …
Persistent link: https://www.econbiz.de/10014289085
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Positive alpha and negative beta (a strategy for counteracting systematic risk)
Noddeboe, Erik Sonne; Faergemann, Hans Christian - In: International Journal of Financial Studies : open … 3 (2015) 4, pp. 431-450
Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been developed to counter this. However, like all insurance types, these strategies are generally costly to implement, and over time can significantly reduce portfolio returns in long...
Persistent link: https://www.econbiz.de/10011408803
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Risk-Shifting, Equity Risk, and the Distress Puzzle
Li, Keming - 2019
Higher default probabilities are associated with lower future stock returns. The anomaly cannot be explained by strategic shareholder actions, traditional risk factors, characteristics, or mispricing, but, instead, is consistent with a risk-shifting hypothesis. Consistent with the risk-shifting...
Persistent link: https://www.econbiz.de/10012903801
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A Behavioral Theory of the Effect of the Risk-Free Rate on the Demand for Risky Assets
Ganzach, Yoav - 2018
We suggest a behavioral perspective for the demand for risky assets (DRA) in which the risk-free rate affects this demand: the lower the risk-free rate the higher the demand for risky assets. This perspective is based on the idea that changes in return exhibit decreasing sensitivity, that is,...
Persistent link: https://www.econbiz.de/10012915682
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Non-implementability of Arrow-Debreu equilibria by continuous trading under knightian uncertainty
Riedel, Frank; Beißner, Patrick - 2014
-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is … only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free. …
Persistent link: https://www.econbiz.de/10010411561
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Experimental evidence on varying uncertainty and skewness in laboratory double-auction markets
Huber, Jürgen; Kirchler, Michael; Stefan, Matthias - In: Journal of Economic Behavior & Organization 107 (2014) PB, pp. 798-809
We investigate the influence of skewness in asset fundamentals on asset prices under different states of uncertainty in double-auction markets. Three different types of assets are considered: risky assets, ambiguous assets and assets where the fundamental value distribution can be learned by...
Persistent link: https://www.econbiz.de/10011116881
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Up close it feels dangerous : "anxiety" in the face of risk
Eisenbach, Thomas M.; Schmalz, Martin C. - 2013
Motivated by individuals' emotional response to risk at different time horizons, we model an 'anxious' agent - one who is more risk averse with respect to imminent risks than distant risks. Such preferences describe well-documented features of 1) individual behavior, 2) equilibrium prices, and...
Persistent link: https://www.econbiz.de/10009725585