We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...

Purpose – The purpose of this paper is to investigate how to determine optimal investing stopping time in a stochastic environment, such as with stochastic returns, stochastic interest rate and stochastic expected growth rate. Design/methodology/approach – Transformation method was used for...

Purpose – The aim of this paper is to empirically analyze the source of commonality in liquidity change in China's stock market. Design/methodology/approach – This paper used two-step test method in Coughenour and Saad and empirically tested the relationship between institutional investors'...

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In this thesis I examine, within a behavioural finance framework, the impacton stock prices of order and trade imbalance in three separate but related studies.The first study, chapter two, begins with a question that plagues behavioural financetheories?do the investors most likely to be...

In the context of an international portfolio diversification problem, we find that small capitalization equity portfolios become riskier in bear markets, i.e. display negative co-skewness with other stock indices and high co-kurtosis. Because of this feature, a power utility investor ought to...

The rapid growth of the stock market since 1990 has encouraged the view that corporate equity holdings are becoming the primary asset for a broad spectrum of American households. A closer look at the evidence, however, reveals that real estate continues to eclipse stocks as a share of most...

It has long been market folklore that the best time to buy stocks is when individual investors are bearish. We examine the forecast power of three popular measures of individual investor sentiment: the level of discounts on closed-end funds, the ratio of odd-lot sales to purchases, and net...