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Ambiguity and the Historical Equity Premium

Collard, Fabrice - 2011

(counter-)cyclical equity premium. We calibrate the level of ambiguity aversion to match only the first moment of the risk … using moderate levels of risk aversion. We find that this simple modification of a Lucas-tree model accounts for a large …

Persistent link: https://www.econbiz.de/10013125431

Risk Aversion and Clientele Effects

Blackburn, Douglas W. - 2009

We use traded options on growth and value indices to test for clientele differences in risk preferences. Value … investors appear to have exhibited a higher average level of risk aversion than growth investors for two different time periods … with different levels of risk-aversion to switch between investment styles conditional upon the evolution of returns and …

Persistent link: https://www.econbiz.de/10013156425

Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns

Brunnermeier, Markus K. - 2007

Human beings want to believe that good outcomes in the future are more likely, but also want to make good decisions that increase average outcomes in the future. We consider a general equilibrium model with complete markets and show that when investors hold beliefs that optimally balance these...

Persistent link: https://www.econbiz.de/10012777581

Investor Co-Attention and Stock Market Comovement

Symitsi, Efthymia - 2017

We investigate investor's correlated attention as a determinant of excess stock market comovement. We propose a novel proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated by the Google Search Volume Index (SVI). Our results...

Persistent link: https://www.econbiz.de/10012941907

The "Caps" Prediction System and Stock Market Returns

Avery, Christopher - 2016

We study the predictive power of approximately 2.5 million stock picks submitted by individual users to the "CAPS" website run by the Motley Fool company (www.caps.fool.com). These picks prove to be surprisingly informative about future stock prices. Indeed, a strategy of shorting stocks with a...

Persistent link: https://www.econbiz.de/10013008531

Are impact and financial returns mutually exclusive? : evidence from publicly-listed impact investments

Bernal, Oscar; Hudon, Marek; Ledru, François-Xavier - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 93-112

Persistent link: https://www.econbiz.de/10012656242

The impact of behavioral biases on investment performance : does financial literacy matter?

Lebdaoui, Hind; Chetioui, Youssef; Ghechi, Elias - In: International journal of economics and financial issues … 11 (2021) 3, pp. 13-21

Persistent link: https://www.econbiz.de/10012609481

Neuere Entwicklungen auf dem deutschen Kapitalmarkt : Institutionen, Marktstrukturen und Marktergebnisse

Horn, Ernst-Jürgen - 1994

Persistent link: https://www.econbiz.de/10013263803

Predictive Regressions : A Present-value Approach

van Binsbergen, Jules H. - 2010

We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict...

Persistent link: https://www.econbiz.de/10012462393

Risk Aversion and Clientele Effects

Blackburn, Douglas W. - 2009

Persistent link: https://www.econbiz.de/10012463317