Trend-chasing and Contrarian are well-documented empirical trading lrm;patterns that the literature generally attributes to behavioral biases. In lrm;contrast, we argue that both are rational portfolio rebalancing strategies in lrm;a dynamic asset allocation framework. Analyzing the interactions...

Empirical studies demonstrated that US baby boomers consumption and savings lrm;patterns have affected economic aggregates over the past decades, among them lrm;equity returns. Boomers' retirement is expected to generate an excess supply of lrm;equities until 2050, but its impact varies with the...

Asset pricing models with atomistic agents typically relax assumptions concerning rationality and/or homogenous information in order to track endogenous bubbles. In this model, identically informed rational agents hold a Perceived Law of Motion (PLM) for a single new technology asset at IPO, yet...

We develop two investment strategy measures by investor type and explore their predictive capability on idiosyncratic volatility, liquidity risk and liquidity commonality. The measures indicate whether each of our nine investor types persistently implements a “positive-feedback” or a...

Day-of-the-week tests for the entire distribution (rather then specific moments) are employed on the Tel-Aviv Stock Exchange index using non-parametric tests. We further add to prior art by examining whether Sunday's return distribution is significantly different from the distribution of any and...

Mean and variance of daily type-A and B stock returns in Shanghai and Shenzhen exchanges are studied before and after these stocks were subject to a -10% daily return limit, and when investors' clientele were segmented, vs. merged. We find that imposing the -10% return limit significantly...