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Fund flows inducing mispricing of risk in competitive financial markets

Stahmer, Axel - 2015

Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment … equilibrium. New flow of funds to the asset management industry lead to inefficient investment decisions, mispricing of risk, and …

Persistent link: https://www.econbiz.de/10011389718

Fund Flows Inducing Mispricing of Risk in Competitive Financial Markets

Stahmer, Axel - 2015

Persistent link: https://www.econbiz.de/10013011200

Non-fundamental demand and style returns

Ben-David, Itzhak; Li, Jiacui; Rossi, Andrea; Song, Yang - 2020

We show that mutual fund ratings generate correlated demand that creates systematic price fluctuations. Mutual fund investors chase fund performance via Morningstar ratings. Until June 2002, funds pursuing the same investment style had highly correlated ratings. Therefore, rating-chasing...

Persistent link: https://www.econbiz.de/10012388379

Overselling Winners and Losers : How Mutual Fund Managers' Trading Behavior Affects Asset Prices

An, Li - 2020

We link a seemingly biased trading behavior to equilibrium asset prices. U.S. equity mutual fund managers tend to sell both their big winners and big losers. This selling pressure pushes down current prices and leads to higher future returns; aggregating across funds, we nd that securities for...

Persistent link: https://www.econbiz.de/10012856415

The acceleration effect and gamma factor in asset pricing

Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015

We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....

Persistent link: https://www.econbiz.de/10011411974

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10012175486

Investor heterogeneity and large-scale asset purchases

Breckenfelder, Johannes; De Falco, Veronica - 2024

Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor...

Persistent link: https://www.econbiz.de/10014528264

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...

Persistent link: https://www.econbiz.de/10012910534

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Data envelopment analysis and multifactor asset pricing models

Solórzano-Taborga, Pablo; Alonso-Conde, Ana Belén; … - In: International Journal of Financial Studies : open … 8 (2020) 2/24, pp. 1-18

Recent literature shows that market anomalies have significantly diminished, while research on market factors has largely improved the performance of asset pricing models. In this paper we study the extent to which data envelopment analysis (DEA) techniques can help improve the performance of...

Persistent link: https://www.econbiz.de/10012239304

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