Bulgaria is a small South-eastern European country with a population of 8 million inhabitants in economic transition. During the bank crisis (1996-97) about 1/3 of all banks went bankrupt. On 5 July 1997, the Bulgarian government, jointly with IMF, introduced the Currency Board Arrangement,...

Market frictions create portfolios of complicated nature, constrained zero-income portfolios. They generate no income in the future contingencies but matter to risk sharing whether they are mispriced or not. The no arbitrage conditions of the literature may not be qualified for equilibrium...

The presence of a positive intercept (quot;alphaquot;) in a regression of an investment fund's excess returns on a broad market portfolio's excess return (as in the CAPM) and other quot;factorquot; portfolios' excess returns (e.g. the Fama and French factors) is frequently interpreted as...

This paper provides an alternative behavioral foundation for an investor's use of power utility in the objective function and its particular risk aversion parameter. The foundation is grounded in an investor's desire to minimize the objective probability that the growth rate of invested wealth...

In this article we examine the backfill bias or instant history bias for hedge funds using additional information from the Tass database. This is information about the exact date a hedge fund starts reporting to Tass. Using this information we are able to reveal the length of the instant...

We develop and implement a method for comparing the measurement error in estimates of the expected rate of return on equity. We combine the Campbell [1991] and Vuolteenaho [2002] return decomposition with the econometric method described in Garber and Klepper [1980] and Barth [1991] to infer...

In this paper, we analyze the implications arising from imposing a Conditional Value-at-Risk (CVaR)constraint in an agent's portfolio selection problem, and compare them with those arising from the imposition of a Value-at-Risk (VaR) constraint. For a given confidence level, a CVaR constraint is...

I describe a model of earnings and earnings growth and I demonstrate how this model may be used to obtain estimates of the expected rate of return on equity capital. These estimates are compared with estimates of the expected rate of return implied by commonly used heuristics - viz., the PEG...

The paper discusses the current state of the behavioral finance literature. I argue that more direct evidence on investors' actions and expectations would make existing theories more convincing to outsiders and would help sort among behavioral theories for a given asset pricing phenomenon....

The observed international home bias has traditionally been viewed as an anomaly. We provide statistical evidence contrary to this view within a mean-variance framework. We investigate two methods of estimating the expected return and covariance parameters: (i) the Bayes-Stein...