Results 1 - 10 of 1,096

Are investors reluctant to realize their losses

by Terrance Odean - Journal of Finance , 1998
"... I test the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing trading records for 10,000 accounts at a large discount brokerage house. These investors demonstrate a strong preference for realizing winners rather than ..."
Abstract - Cited by 657 (14 self) - Add to MetaCart
I test the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing trading records for 10,000 accounts at a large discount brokerage house. These investors demonstrate a strong preference for realizing winners rather than

Investor psychology and security market under- and overreactions

by Kent Daniel, David Hirshleifer - Journal of Finance , 1998
"... We propose a theory of securities market under- and overreactions based on two well-known psychological biases: investor overconfidence about the precision of private information; and biased self-attribution, which causes asymmetric shifts in investors ’ confidence as a function of their investment ..."
Abstract - Cited by 698 (43 self) - Add to MetaCart
-run earnings “drift, ” but negative correlation between future returns and long-term past stock market and accounting performance. The theory also offers several untested implications and implications for corporate fi-nancial policy. IN RECENT YEARS A BODY OF evidence on security returns has presented a sharp

Investing for the long run when returns are predictable

by Nicholas Barberis - Journal of Finance , 2000
"... We examine how the evidence of predictability in asset returns affects optimal portfolio choice for investors with long horizons. Particular attention is paid to estimation risk, or uncertainty about the true values of model parameters. We find that even after incorporating parameter uncertainty, th ..."
Abstract - Cited by 444 (0 self) - Add to MetaCart
We examine how the evidence of predictability in asset returns affects optimal portfolio choice for investors with long horizons. Particular attention is paid to estimation risk, or uncertainty about the true values of model parameters. We find that even after incorporating parameter uncertainty

International Diversification and the Investor Horizon

by Thomas Conlona, John Cottera , 2014
"... In this paper, we investigate the benefits of international diversification over short-and long-run horizons. Average unconditional correlation between international equity markets is first shown to increase at long horizons, even for synchronized market data. Next, a conditional horizon-dependent c ..."
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In this paper, we investigate the benefits of international diversification over short-and long-run horizons. Average unconditional correlation between international equity markets is first shown to increase at long horizons, even for synchronized market data. Next, a conditional horizon

Investor Horizons and Corporate Policies

by François Derrien, Ambrus Kecskés, David Thesmar, Harrison Hong, Augustin L, Andrei Shleifer, Hans-joachim Voth Introduction , 2009
"... This paper looks at the effect of shareholder horizon on corporate behavior. In perfect capital markets, corporate behavior should be insensitive to shareholder horizon, but when investment opportunities are not well valued by the market, shareholder horizon matters. We first present a simple framew ..."
Abstract - Cited by 2 (0 self) - Add to MetaCart
framework to show that shareholder horizon should be looked at in conjunction with stock misvaluation. We build on this insight to design a novel empirical strategy to assess the impact of investor short-termism. Consistent with our simple framework, we find that, when a firm is undervalued, the presence

Investor Horizons and Corporate Policies

by unknown authors , 2009
"... This paper looks at the effect of shareholder horizon on corporate behavior. In perfect capital markets, corporate behavior should be insensitive to shareholder horizon, but when investment opportunities are not well valued by the market, shareholder horizon matters. We first present a simple framew ..."
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framework to show that shareholder horizon should be looked at in conjunction with stock misvaluation. We build on this insight to design a novel empirical strategy to assess the impact of investor short-termism. Consistent with our simple framework, we find that, when a firm is undervalued, the presence

Empirical regularities from interacting long and short horizon investors in an agent based stock market

by Blake Lebaron - IEEE Trans Evolutionary Computation , 2001
"... Abstract—This paper explores some of the empirical features generated in an agent-based computational stock market with market participants adapting and evolving over time. Investors view differing lengths of past information as being relevant to their investment decision making process. The interac ..."
Abstract - Cited by 42 (4 self) - Add to MetaCart
Abstract—This paper explores some of the empirical features generated in an agent-based computational stock market with market participants adapting and evolving over time. Investors view differing lengths of past information as being relevant to their investment decision making process

Dynamic Nonmyopic Portfolio Behavior

by Tong Suk Kim, Edward Omberg - Review of Financial Studies , 1996
"... The dynamic nonmyopic portfolio behavior of an investor who trades a risk-free and risky asset is derived for all HARA utility functions and a stochastic risk premium. Conditions are found for when the investor holds more or less than the myopic amount of the risky asset; hedges against or speculate ..."
Abstract - Cited by 190 (3 self) - Add to MetaCart
or speculates the risk-premium uncer-tainty; is long or short on the risky asset; and holds more or less of the risky asset at longer horizons. The analytical solutions derived take multiple mathematical forms and include ex-treme cases in which investors with long but fi-nite horizons can attain nirvana

Investor Sentiment and Asset Valuation

by Gregory W. Brown, Michael T. Cliff - Journal of Business , 2005
"... The link between asset valuations and investor sentiment is the subject of considerable debate in the profession. We address this question by examining how survey data on investor sentiment relates to i) long-horizon returns, and ii) asset valuations. If excessive optimism drives prices above intrin ..."
Abstract - Cited by 76 (1 self) - Add to MetaCart
The link between asset valuations and investor sentiment is the subject of considerable debate in the profession. We address this question by examining how survey data on investor sentiment relates to i) long-horizon returns, and ii) asset valuations. If excessive optimism drives prices above

THE MYTH OF LONG-HORIZON PREDICTABILITY

by Jacob Boudoukh, A Matthew Richardson B, Robert F. Whitelaw B , 2005
"... The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly stronger than that for short horizons. We show that for persistent regressors, a characteristic of most of the predictive variables used in the literature, the estimators are almost perf ..."
Abstract - Cited by 35 (0 self) - Add to MetaCart
The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly stronger than that for short horizons. We show that for persistent regressors, a characteristic of most of the predictive variables used in the literature, the estimators are almost
Results 1 - 10 of 1,096