Showing 31 - 40 of 181,623
We present a rational learner agent, which considers the information coming from a behavioral counterpart during the allocation process. The learner agent adopts a herding behaviour by conditioning her choice on the selection of the portfolio's constituents. The considered framework has...
Persistent link: https://www.econbiz.de/10013021144
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) The Volatility Puzzle. We offer resolutions of...
Persistent link: https://www.econbiz.de/10012842392
This paper sheds empirical light on whether sentiment affects the profitability of price momentum strategies. We hypothesize that news that contradicts investors' sentiment causes cognitive dissonance, which slows the diffusion of signals that oppose the direction of sentiment. This phenomenon...
Persistent link: https://www.econbiz.de/10012906186
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013132883
We offer an investment-based interpretation of price and earnings momentum. The neoclassical theory of investment implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and...
Persistent link: https://www.econbiz.de/10013115136
Persistent link: https://www.econbiz.de/10011612160
Persistent link: https://www.econbiz.de/10011336790
Persistent link: https://www.econbiz.de/10009756396
Persistent link: https://www.econbiz.de/10009570133
We test whether forecast bias affects household stock trading by combining measures of bias elicited in laboratory … experiments with administrative trade-level data. On average, subjects exhibit positive forecast bias (i.e., extrapolators), while … a large minority exhibit negative forecast bias (i.e., contrarians). Forecast bias is positively associated with past …
Persistent link: https://www.econbiz.de/10014472568