Results 21 to 30 of about 84,200 (47)
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Australian Journal of Management, 2023
In view of the need for portfolio diversification, we investigate the interlinkages between a private equity ETF and a set of high-demand asset classes including bonds, equities, crude oil, gold, commodities, currency, Bitcoin, and shipping within a ...
Spyros Papathanasiou +3 more
semanticscholar +1 more source
In view of the need for portfolio diversification, we investigate the interlinkages between a private equity ETF and a set of high-demand asset classes including bonds, equities, crude oil, gold, commodities, currency, Bitcoin, and shipping within a ...
Spyros Papathanasiou +3 more
semanticscholar +1 more source
What Drives Variation in Investor Portfolios? Estimating the Roles of Beliefs and Risk Preferences†
The Review of financial studiesWe present a portfolio choice demand model that allows for the nonparametric estimation of investors’ (subjective) expectations and risk preferences. Using comprehensive 401(k)-plan-level data from 2009 through 2019, we explore heterogeneity in asset ...
Mark L. Egan, A. Mackay, Hanbin Yang
semanticscholar +1 more source
Machine Learning for Continuous-Time Finance
Social Science Research NetworkWe develop an algorithm for solving a large class of nonlinear high-dimensional continuous-time models in finance. We approximate value and policy functions using deep learning and show that a combination of automatic differentiation and Ito’s lemma ...
Victor F. Duarte +2 more
semanticscholar +1 more source
The Role of Taxes in the Rise of ETFs
The Review of financial studiesThis paper argues that a lesser known yet economically significant tax-deferral feature of ETFs’ security design is crucial to their success. By relying on the in-kind redemption exemption, authorized participants help ETFs avoid distributing capital ...
R. Moussawi, Ke Shen, Raisa Velthuis
semanticscholar +1 more source
Social Science Research Network, 2022
Benchmarking incentivizes fund managers to invest a fraction of their funds assets in their benchmark indexes, and such demand is inelastic. We construct a measure of inelastic demand a stock attracts, benchmarking intensity (BMI), computed as its ...
A. Pavlova, T. Sikorskaya
semanticscholar +1 more source
Benchmarking incentivizes fund managers to invest a fraction of their funds assets in their benchmark indexes, and such demand is inelastic. We construct a measure of inelastic demand a stock attracts, benchmarking intensity (BMI), computed as its ...
A. Pavlova, T. Sikorskaya
semanticscholar +1 more source
Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets
The Review of financial studiesWe propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model—the Π-CAPM—generates several new predictions: (i) skewness has a
Joost Driessen +2 more
semanticscholar +1 more source
Effects of Credit Expansions on Stock Market Booms and Busts
The Review of financial studiesThere is causal evidence that mortgage credit expansions increase house prices. Does an expansion of margin lending increase stock prices? Because unconstrained arbitrageurs are more important for pricing stocks than homes, the impact is not obvious ...
Christopher Hansman +4 more
semanticscholar +1 more source
Energy Journal
This paper begins with an investigation on the relation between airline fuel hedging and volatility and builds on this idea to consider its effect on the risk and return relationship.
Jason P. Berkowitz +2 more
semanticscholar +1 more source
This paper begins with an investigation on the relation between airline fuel hedging and volatility and builds on this idea to consider its effect on the risk and return relationship.
Jason P. Berkowitz +2 more
semanticscholar +1 more source
How to Dominate the Historical Average
The Review of financial studiesWe present a novel methodology for the out-of-sample forecast of the equity premium. Our predictive slope coefficient is a conservative constant that has a lower bias than the zero slope employed by the historical average, but has the same variance. We
Kaiqiang Li +3 more
semanticscholar +1 more source
On Taking a Skewed Risk More than Once
American Economic Journal: MicroeconomicsPenny-picking refers to the often-observed phenomenon of repeatedly taking negatively skewed risks and seems directly at odds with evidence on (positive-)skewness-seeking as observed in static settings.
Sebastian Ebert, M. Köster
semanticscholar +1 more source