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During the past few decades, significant theoretical advances in portfolio theory and asset pricing have substantially increased our understanding of how to construct optimal portfolios. These theoretical developments have challenged professional portfolio management to develop appropriate tools...
Persistent link: https://www.econbiz.de/10013100913
Infrastructure as a new asset class is said to have several distinct and attractive investment characteristics. This article reviews concepts, market developments and empirical evidence on the risk-return and cash flow profile, and the potential for diversification and inflation protection in...
Persistent link: https://www.econbiz.de/10013092830
This paper investigates the investment behaviors of 44,649 employees working in a CAC 40 index listed company. The company savings plan offers its employees a choice among various asset categories generally listed by financial institutions. We first describe employees' saving behaviors for each...
Persistent link: https://www.econbiz.de/10013093666
There are number of studies which favor the existence of gender bias in investment patterns. Most of the studies conclude that women invest more conservatively than men (Yao, R. & Hanna, S.D., 2005) and that the women are more risk averse (Julie R. Agnew, 2005). Some studies also contend that...
Persistent link: https://www.econbiz.de/10013072638
Low-risk investing within equities and other asset classes has received a lot of attention over the past decade. An intensive academic debate has spurred, and been spurred by, the growing market for low-risk strategies. This article presents five fact and dispels five fictions about low-risk...
Persistent link: https://www.econbiz.de/10012841398
In this article, the authors study the performance of trend-following investing across global markets since 1880, extending the existing evidence by more than 100 years using a novel data set. They find that in each decade since 1880, time series momentum has delivered positive average returns...
Persistent link: https://www.econbiz.de/10012953412
With the adoption of the Paris Agreement in December 2015, better understanding of portfolio carbon dioxide (CO2) exposures has become increasingly important for investors, regulators and society at large. In this paper we measure the portfolio carbon footprints (CFPs) of pension funds' stock...
Persistent link: https://www.econbiz.de/10012958720
This chapter encapsulates the most recent findings on sovereign wealth fund (SWF) investment activity globally. The key research proposals addressed herein relate to the position of global SWFs among conventional and alternative asset managers, SWF allocation strategies, their recent investment...
Persistent link: https://www.econbiz.de/10012962642
We analyze a unique, comprehensive, multi-decade dataset of all communications with clients by a boutique investment advisory and investment management firm to explore the behavior of individuals involved in financial decision making. We propose and test a theory of self-regulation to explain...
Persistent link: https://www.econbiz.de/10012906029
The May 2010 Flash Crash and August 2007 Quant Meltdown raised concerns about the impact of quantitative investment strategies on market stability. Theory is split on whether quantitative investing dampens or exacerbates market instability. To test the theory we focus on mutual fund fire sales....
Persistent link: https://www.econbiz.de/10012897502