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Overconfidence among professional investors : evidence from mutual fund managers

Pütz, Alexander (contributor); Ruenzi, Stefan (contributor) - 2008

We examine overconfidence among equity mutual fund managers. While overconfidence has been extensively documented among retail investors, evidence from professional investors is scarce. Consistent with theories of overconfidence, we find that fund managers trade more after good past performance....

Persistent link: https://www.econbiz.de/10003783625

Essentials of stochastic finance : facts, models, theory

Širjaev, Alʹbert N. - 1999

Persistent link: https://www.econbiz.de/10001375629

ETFs, arbitrage, and contagion

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2012 - March 2012

importance in recent years. We report that arbitrage activity occurs between ETFs and the underlying assets. Then, we show that … arbitrage activity may induce contagion. Flash Crash ; contagion ; ETF ; stocks ; arbitrage ; mispricing ; overvaluation …

Persistent link: https://www.econbiz.de/10009554748

Risk Arbitrage, A Probabilistic Approach Over 1998-2010 in the US and Canada

Dieudonne, Stephane - 2010

This document is a quantitative analysis of risk arbitrage strategy across a sample of 1,911 M&A deals announced … risk arbitrage spread calculated over the first five days following the announcement of the bid. Ultimately, it is hoped …

Persistent link: https://www.econbiz.de/10013135952

Identifying the Effect of Stock Indexing : Impetus or Impediment to Arbitrage and Price Discovery?

Ahn, Byung Hyun; Patatoukas, Panos N. - 2021

The rise of stock indexing has raised concerns that index investing impedes arbitrage and degrades price discovery …. This paper uses Russell’s reconstitution to identify the causal effect of index investing on information arbitrage and … for micro-cap stocks. Our causal evidence identifies the relaxation of arbitrage constraints as a mechanism through which …

Persistent link: https://www.econbiz.de/10013245002

Exchange traded funds (ETFs)

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2017

with the index. Arbitrage activity is a necessary component in minimizing the price discrepancy between ETFs and the … underlying securities. During turbulent market episodes, however, arbitrage is limited and ETF prices diverge from those of the …

Persistent link: https://www.econbiz.de/10011620013

Evolving Credit and the U.S. Macroeconomy : 1920-2011

Amir-Ahmadi, Pooyan - 2015

This paper studies evolving macroeconomic consequences of adverse credit spread shocks for the US economy over the past century. The key objective is to characterize and quantify how the credit transmission mechanism has changed in shaping the macroeconomy during major macroeconomic episodes. I...

Persistent link: https://www.econbiz.de/10013022619

Consumption inequality and partial insurance

Blundell, Richard W.; Pistaferri, Luigi; Preston, Ian - 2004

This paper describes the transmission of income inequality into consumption inequality and in so doing investigates the degree of insurance to income shocks. It combines panel data on income from the PSID with consumption data from repeated CEX cross-sections and distinguishes between permanent...

Persistent link: https://www.econbiz.de/10010292960

Wealth inequality and the optimal level of government debt

Röhrs, Sigrid; Winter, Christoph - 2011

In this paper, we quantitatively analyze to what extent a benevolent government should issue debt in a model where households are subject to idiosyncratic productivity shocks, insurance markets are missing and borrowing is restricted. In this environment, issuing government bonds facilitates...

Persistent link: https://www.econbiz.de/10010316936

Welfare costs of business cycles when markets are incomplete

Krebs, Tom - 2004

This paper analyzes the welfare costs of business cycles when workers face uninsurable idiosyncratic labor income risk. In accordance with the previous literature, this paper decomposes labor income risk into an aggregate and an idiosyncratic component, but in contrast to the previous...

Persistent link: https://www.econbiz.de/10010318998

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