Theories of herding behavior predict that only investors with sufficiently precise private information or those most overconfident will deviate from the crowd. Using portfolio holdings, this paper identifies contrarian funds as those pursuing distinctive investment strategies, i.e., as those...

An idealized model of the investment process redefines the respective roles of security analysts and portfolio managers, quantifies such concepts as activity and aggressiveness, and explains how the individual analyst's efforts at forecasting returns translate into improved portfolio performance

The Pension Protection Act of 2006 identified target-date funds as an appropriate default investment for defined contribution retirement plans. Using the 2009 National Financial Capability Study, this paper examines the relation between investor sophistication and the decision to primarily...

In this paper we show that simple buy-and-hold strategies over-perform market-timing strategies effectively used by Italian investors in equity mutual funds. We estimate returns from market-timing strategies using aggregate data on net flows for a large sample of equity mutual funds, available...

This study examines stated return preferences of individual investors. First, evidence suggests investors sort themselves into groups by return preferences. Identifiable, systematic, and statistically significant differences exist across investor groups.There appear to be at least two investor...

In this paper we examine the effectiveness of modeling a paris-traded ETF portfolio as an Ornstein-Uhlenbeck process. Using ETF pairs that have similar references indexes, we apply maximum likelihood estimation to historical data in order to optimize trading signals for two strategies. Using...