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We present a general equilibrium model in which heterogeneous investors choose among bonds, stocks, and an Index Fund holding the market portfolio. We show that, under standard assumptions, an equilibrium exists. We then derive predictions for equilibrium asset prices, investor behavior, and...
Persistent link: https://www.econbiz.de/10014255122
In recent years, exchange-traded fund (ETF) markets have grown exponentially due to their rising popularity amongst … of ETF markets remains understudied. Therefore, the objective of this study is to explore the effect of investor … attention has a negative effect on ETF returns in line with the Investor Recognition Hypothesis. However, further analysis …
Persistent link: https://www.econbiz.de/10014506650
We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become negative. Inclusion worsens stock price informativeness and...
Persistent link: https://www.econbiz.de/10012263191
benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …
Persistent link: https://www.econbiz.de/10012910534
The global success of the song, “Gangnam Style”, by the Korean rapper PSY in 2012, was an exogenous shock to investor enthusiasm for DI Corp., a Korean semiconductor manufacturer. Although DI Corp.'s business is not related to the entertainment industry, its co-CEO is the father of PSY....
Persistent link: https://www.econbiz.de/10012974176
This study evaluates whether exchange traded funds (ETFs) threaten fnancial market stability by testing two hypotheses relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile cointegration models using Standard & Poor's 500 Index...
Persistent link: https://www.econbiz.de/10014540299
In this study, we delve into the financial market to compare the performance of prominent AI and robotics-related stocks against traditional IT indices, such as the Nasdaq, and specialized AI and robotics ETFs. We evaluate the role of these stocks in diversifying portfolios, analyzing their...
Persistent link: https://www.econbiz.de/10014497423
This study uses security-level investor demand and dynamic pricing information in the primary bond market to examine investor tastes for ESG assets and their pricing effects. We find that green bonds are significantly more oversubscribed than their conventional counterparts offered by the same...
Persistent link: https://www.econbiz.de/10013405355
The purpose of this paper is to examine the performance of Greek equity mutual funds, elaborating on stock selection in parallel with market timing measures, in comparison with the performance of ETFs and index funds for the period 01/24/2008-05/12/2017, and the short-term performance...
Persistent link: https://www.econbiz.de/10012891991
Using a comprehensive database of corporate news, we find that bond funds trade against the direction of news sentiment. The trading against news phenomenon is concentrated in funds selling on positive news and in the post-financial crisis period when dealer liquidity provision is constrained....
Persistent link: https://www.econbiz.de/10014456062