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On a Constructive Theory of Financial Markets (Prologue)

Moffitt, Steven - 2017

This article is a prologue to the article "Why Markets are Inefficient: A Gambling 'Theory' of Financial Markets for … important background for that article - why gambling is important, even necessary, for real-world traders, the reason for the … superiority of the strategic/gambling approach to the competing market ideologies of market fundamentalism and the scientific …

Persistent link: https://www.econbiz.de/10012959081

When (If Ever) Has it Paid to Wait for a Stock Market Correction?

Haghani, Victor - 2017

Investors are periodically challenged with this question: with funds ready to invest, but faced with a market that is generally perceived to be expensive, is it better to wait for a market correction before investing? Many investors are certain that a correction must be around the corner, and...

Persistent link: https://www.econbiz.de/10012947040

What Our Market Return Forecasts Really Mean : Convexity in Equity Returns and its Implications for Investment Sizing

Haghani, Victor - 2019

You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

Persistent link: https://www.econbiz.de/10012902324

When it Pays to Pay Capital Gains

Haghani, Victor - 2019

Persistent link: https://www.econbiz.de/10012890821

A Penny Saved Is Two Pennies Earned

White, James - 2019

-free penny is worth two pennies of expected but uncertain income, a result born out by modern mathematical advances in the theory …

Persistent link: https://www.econbiz.de/10012899550

Negative Interest Rates and the Perpetuity Paradox

White, James - 2020

With 30% of the world's investment grade sovereign bonds trading at sub-zero yields, there is a growing acceptance that negative interest rates are the 'new normal.' Even very low probabilities of sustained negative interest rates in the future leads to incredibly high Expected Values for...

Persistent link: https://www.econbiz.de/10012846686

There’s No Place Like Home : The Case For and Against Extreme Home Bias in Equity Investing

White, James - 2019

For US investors, international equity exposure has never been so readily available at such a low cost. Nonetheless, surveys indicate US investors typically allocate 80–85% of their equity holdings to US equities, much higher than their proportion of global market value. In this note we...

Persistent link: https://www.econbiz.de/10012860180

Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio

White, James - 2020

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...

Persistent link: https://www.econbiz.de/10012838940

To Realize, or Not to Realize? Capital Gains Tax and Portfolio Choice

White, James; Haghani, Victor - 2020

method for answering some of the important questions arising from the interaction of taxes and investing. Investment theory …

Persistent link: https://www.econbiz.de/10014352082

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