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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
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Essentials of stochastic finance : facts, models, theory
Širjaev, Alʹbert N. - 1999
Persistent link: https://www.econbiz.de/10001375629
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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
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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
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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
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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
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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
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Accounting for the racial property crime gap in the US : a quantitative equilibrium analysis
Cozzi, Marco - 2010
This paper studies the effects of both labor market conditions and asset poverty on the property crimes involvement of American males. Since the mid 60's the property crimes arrest rate has been four times higher for black males if compared to white ones. Another set of stylised facts show for...
Persistent link: https://www.econbiz.de/10003951079
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Human capital risk, contract enforcement, and the macroeconomy
Krebs, Tom; Kuhn, Moritz; Wright, Mark L. J. - 2015
We use data from the Survey of Consumer Finance and Survey of Income Program Participation to show that young households with children are under-insured against the risk that an adult member of the household dies. We develop a tractable macroeconomic model with human capital risk, age-dependent...
Persistent link: https://www.econbiz.de/10011308568
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Human capital risk, contract enforcement, and the macroeconomy
Krebs, Tom; Kuhn, Moritz; Wright, Mark L. J. - 2014
We use data from the Survey of Consumer Finance and Survey of Income Program Participation to show that young households with children are under-insured against the risk that an adult member of the household dies. We develop a tractable macroeconomic model with human capital risk, age-dependent...
Persistent link: https://www.econbiz.de/10010424292