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Why Has the U.S. Foreign Portfolio Share Increased?
Wynter, Matthew - 2015
to holding foreign equity are increasing in wealth. Alternative theories of ambiguity aversion and behavioral investment …
Persistent link: https://www.econbiz.de/10013013220
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Emotions and Subjective Crash Beliefs
Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2024
Over the past two decades, respondents to the Shiller Investor Confidence Surveys assess the probability of a catastrophic stock market crash to be much higher that the historical frequency of such events. We decompose these crash probabilities into fundamental and subjective components and use...
Persistent link: https://www.econbiz.de/10014576618
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Financial Performance Trends of United States Hockey Inc : A Resource-Dependency Approach
Omondi-Ochieng, Peter - 2019
Purpose – The purpose of this paper is to examine the 2009 to 2016 financial performance of the US Hockey Inc., using financial effectiveness indicators and financial efficiency ratios.Design/methodology/approach – With the assistance of financial trend analysis, archival data were used to...
Persistent link: https://www.econbiz.de/10012858100
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Optimal asset allocation under quadratic loss aversion
Fortin, Ines; Hlouskova, Jaroslava - 2012
We study the asset allocation of a quadratic loss-averse (QLA) investor and derive conditions under which the QLA problem is equivalent to the mean-variance (MV) and conditional value-at-risk (CVaR) problems. Then we solve analytically the two-asset problem of the QLA investor for a risk-free...
Persistent link: https://www.econbiz.de/10009684025
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Yes, the Choice of Performance Measure Does Matter for Ranking of US Mutual Funds
Ornelas, Jose Renato Haas - 2009
Recent literature in performance evaluation has focused on preferences and characteristics of returns' distribution that go beyond mean and variance world. However, Eling (2008) compared the Sharpe ratio with some of these performance measures, and found virtually identical rank ordering using...
Persistent link: https://www.econbiz.de/10013159851
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Spanning tests for Markowitz stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2018 - Current draft: January 2018
determines whether introducing new securities or relaxing investment constraints improves the investment opportunity set of …
Persistent link: https://www.econbiz.de/10011877232
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Social anchor effects in decision-making under ambiguity
Lahno, Amrei M. - 2014
I experimentally examine whether feedback about others' choices provides an anchor for decision-making under ambiguity … relative ambiguity attitude (compared to the peer's) significantly matters for shifts in individual attitudes, and that … dynamics considerably differ between gain and loss domains. For gains, learning to be comparably ambiguity averse increases the …
Persistent link: https://www.econbiz.de/10010364762
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Looming Large or Seeming Small? Attitudes Towards Losses in a Representative Sample
Chapman, Jonathan; Snowberg, Erik; Wang, Stephanie; … - National Bureau of Economic Research - 2022
We measure individual-level loss aversion using three incentivized, representative surveys of the U.S. population (combined N=3,000). We find that around 50% of the U.S. population is loss tolerant, with many participants accepting negative-expected-value gambles. This is counter to earlier...
Persistent link: https://www.econbiz.de/10013334460
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Volatility spillovers, asymmetry and extreme events in securitized real estate returns
Hoesli, Martin; Reka, Kustrim - 2010
This paper analyzes the relationships between local and global securitized real estate markets, but also between securitized real estate and common stock markets. First, the volatility transmissions across markets are examined using an asymmetric t-BEKK (Baba-Engle-Kraft-Kroner) specification of...
Persistent link: https://www.econbiz.de/10008797759
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Are Retirement Decisions Vulnerable to Framing Effects? Empirical Evidence from NL and the US
Teppa, Federica - 2013
This study investigates whether individual choices in the pension domain are vulnerable to the way alternatives are communicated to respondents. The analysis is based on a set of hypothetical questions posed in the DNB Household Survey as well as in the RAND American Life Panel on pension...
Persistent link: https://www.econbiz.de/10013088834