This paper addresses whether country allocation provides benefits over industry allocation in a sample of European country and industry indexes. Strategy performance is compared using a mean-variance spanning test. We find that, for investors with low risk aversion, industry allocation is as...

the long run mean and/or the persistence of expected inflation.

When experience and a noisy signal shape expectation formation across cohorts in a constrained rational fashion, a binding short-sale constraint interplays with beliefs to drive investors out of the stock market. Given beliefs, nonparticipation can be optimal for extended periods or lead to...

What are the implications of disagreement about environmental, social, and governance (ESG) ratings for portfolio choice? Constructing an optimal portfolio for each ESG rating agency by minimizing tracking error while satisfying a portfolio-level ESG constraint, we found that ESG rating...

Consistent with the agency cost rational, this paper documents that managers having larger private benefits of control purchase more insurance to reduce their own exposure to the probability of left-tail outcomes and hence the volatility of the firm's cash flows. Private benefits of control are...