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Diversification Decisions of Individual Investors and Asset Prices

Kumar, Alok - 2022

This paper examines the relation between equity portfolio diversification choices of individual investors and stock … diversification clientele based portfolios can explain cross-sectional variations in returns for a considerable subset of stocks. The … diversification choices of individual investors influence stock returns …

Persistent link: https://www.econbiz.de/10014236135

Drawdown risk in mutual funds performance

Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106

To many people, the terror of falling share prices is often significant, often more so than the pleasure of gains. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have several tools to measure downside volatility,...

Persistent link: https://www.econbiz.de/10009746020

Fund flows inducing mispricing of risk in competitive financial markets

Stahmer, Axel - 2015

This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...

Persistent link: https://www.econbiz.de/10011389297

Investor Sentiment and Momentum and Contrarian Trading Strategies : Mutual Fund Evidence

Cullen, Grant - 2011

Stocks with high sentiment betas are more sensitive to investor sentiment, with more subjective valuations. We contend that sentiment beta also captures the duration of mispricing. Accordingly, stocks with high (low) sentiment betas provide opportunities for momentum (contrarian) traders. We...

Persistent link: https://www.econbiz.de/10013121460

Overselling Winners and Losers : How Mutual Fund Managers' Trading Behavior Affects Asset Prices

An, Li - 2020

We link a seemingly biased trading behavior to equilibrium asset prices. U.S. equity mutual fund managers tend to sell both their big winners and big losers. This selling pressure pushes down current prices and leads to higher future returns; aggregating across funds, we nd that securities for...

Persistent link: https://www.econbiz.de/10012856415

Non-fundamental demand and style returns

Ben-David, Itzhak; Li, Jiacui; Rossi, Andrea; Song, Yang - 2020

We show that mutual fund ratings generate correlated demand that creates systematic price fluctuations. Mutual fund investors chase fund performance via Morningstar ratings. Until June 2002, funds pursuing the same investment style had highly correlated ratings. Therefore, rating-chasing...

Persistent link: https://www.econbiz.de/10012388379

Are analyst trade ideas valuable?

Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, René M. - 2019

Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...

Persistent link: https://www.econbiz.de/10012120228

An empirical examination of the diversification benefits of U.K. international equity closed-end funds

Fletcher, Jonathan - In: International review of financial analysis 55 (2018), pp. 23-34

Persistent link: https://www.econbiz.de/10012005160

Investment style positioning of UK unit trusts

Brookfield, David; Su, Chen; Bangassa, Kenbata - In: The European journal of finance 21 (2015) 10/12, pp. 946-970

Persistent link: https://www.econbiz.de/10011301957

Financial insights from the last few components of a stock market PCA

Yang, Libin; Rea, William; Rea, Alethea - In: International Journal of Financial Studies : open … 5 (2017) 3, pp. 1-12

We show that the last few components in the principal component analysis of the correlation matrix of a group of stocks may contain useful financial insights by identifying highly correlated pairs or larger groups of stocks. The results of this type of analysis can easily be included in the...

Persistent link: https://www.econbiz.de/10011759755

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