Return persistence, risk dynamics and momentum exposures of equity and bond mutual funds

To analyse persistence in mutual fund performance, it is common practice to construct portfolios of funds based on past fund returns.

Updated: 22/09/2011
Comments:
Views: 5,926

Loss aversion with a state-dependent reference point

Author(s):

Thierry Post

This study investigates loss aversion when the reference point is state-dependent. Using a state-dependent structure, prospects are more attractive if they depend positively on the reference point and are less attractive in case of negative dependence.

Updated: 27/10/2011
Comments:
Views: 5,470

Irrational diversification: an experimental examination of portfolio construction

A portfolio construction experiment reveals strong evidence for a conditional 1/n diversification heuristic. Subjects have a tendency to exclude choice alternatives that are unattractive when held in isolation, despite their attractive diversification benefits.

Updated: 27/10/2011
Comments:
Views: 5,809

Does risk seeking drive asset prices? A stochastic dominance analysis of aggregate investor preferences

We investigate whether risk seeking or non-concave utility functions can help to explainthe cross-sectional pattern of stock returns.

Updated: 13/10/2011
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Views: 5,724

The European Union portfolio-diversification opportunities in the new members vs. the candidate: Turkey

Author(s):

Ceylan Onay

 et al.

This paper investigates the comparative long term diversification benefits of Czech Republican, Hungarian, Polish and Turkish stock markets in the EU portfolio during the accession.

Updated: 30/09/2011
Comments:
Views: 5,379

Non-parametric regression with a latent time series

In this paper we investigate a class of semi-parametric models for panel data sets where the cross-section and time dimensions are large.

Updated: 22/09/2011
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Views: 5,427

Evaluating probabilistic forecasts of stock prices in a developing stock market

Recent literature on the accuracy of forecasting in financial markets reveals contradictory results. These discrepancies can be attributed to the differences in forecasting environments as well as the differences in forecaster expertise that are employed by the researchers.

Updated: 22/09/2011
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Views: 5,445

An exploratory analysis of the portfolio managers' probabilistic forecasts of stock prices

This study reports the results of an experiment that examines (1) the effects of forecast horizon on the performance of probability forecasters, and (2) the alleged existence of an inverse expertise effect, i.e., an inverse relationship between expertise and probabilistic forecasting performance.

Updated: 22/09/2011
Comments:
Views: 5,373

Behavioural finance: quo vadis?

Author(s):

Gulnur Muradoglu

Topic:
Finance

Behavioural finance endeavours to bridge the gap between neoclassical finance and cognitive psychology. Now an established field, behavioural finance looks at the investors' decision making formula as well as at their behaviour, which in turn sheds light on the observed departures from the traditional finance theory. The paper provides an overarching view of the behavioural finance area.

Updated: 10/02/2015
Comments:
Views: 7,924