Results 31 to 40 of about 74,430 (47)
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Social Science Research Network, 2021
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, Taisiya 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, Taisiya Sikorskaya
semanticscholar +1 more source
Moving the Goalposts? Mutual Fund Benchmark Changes and Relative Performance Manipulation
The Review of financial studiesWe analyze changes to mutual funds’ self-declared benchmarks using hand-collected data from funds’ prospectuses. Under existing rules, funds can freely change their benchmark indexes and, implicitly, the historical returns to which they compare their ...
Kevin Mullally, Andrea Rossi
semanticscholar +1 more source
Rich Pickings? Risk, Return, and Skill in Household Wealth
The American Economic Review, 2017We investigate wealth returns on an administrative panel containing the disaggregated balance sheets of Swedish residents. The expected return on household net wealth is strongly persistent, determined primarily by systematic risk, and increasing in net ...
L. Bach, Laurent E. Calvet, Paolo Sodini
semanticscholar +1 more source
Is the Beta Anomaly Real? A Correction in Existing Theories of Cost of Capital and Asset Pricing
Journal of Emerging Market Finance, 2023Researchers argue about the beta anomaly and related anomalies in the capital market based on existing theories of asset pricing. This article shows that the observed beta anomaly is added due to the mathematical errors, inconsistencies, and limitations ...
Vinod Kumar
semanticscholar +1 more source
Dollar-Cost Average plan in EMU countries: could it be beneficial? What the data say.
Social Science Research Network, 2023This study examines a real case scenario using real data under the assumption of a long-term investment horizon. We examine the Dollar Cost Average, Cost Average Plan (CAP) in our case, and attempt to ascertain whether it could prove beneficial for an ...
Evangelos Vasileiou +1 more
semanticscholar +1 more source
Non-Passive Securities Lending by Passive Investors
Social Science Research Network, 2023We study passive funds’ conflicts of interest by examining their securities lending decisions. We show that passive funds’ lending varies with the costs of lending for their families.
Apoorv Gogar +2 more
semanticscholar +1 more source
Beliefs about the Stock Market and Investment Choices: Evidence from a Survey and a Field Experiment
The Review of financial studiesWe survey retail investors at an online bank to study how beliefs about the autocorrelation of aggregate stock returns shape investment decisions measured in administrative account data.
Christine Laudenbach +3 more
semanticscholar +1 more source
Salient Attributes and Household Demand for Security Designs
Social Science Research Network, 2023Using a large database of complex securities, I study how salient attributes of security design distort household investment decisions. I show banks add non-standard (fineprint) conditions to artificially increase advertised rates of headline return and ...
Petra Vokatá
semanticscholar +1 more source
Equity Return Predictability with the ICAPM
Review of Asset Pricing StudiesThis paper highlights a positive and significant beta-return relationship in high expected market return states, as suggested by the ICAPM. The ICAPM has strong out-of-sample predictive power for equity returns.
Michael Hasler, Charles Martineau
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