Grossman (1976) shows how market prices aggregate private information. In this paper I show how trading volume helps investors to interpret the aggregate information in the price. I construct a model where investors trade for two reasons: private information and risk sharing. When trading volume is high, investors know that private signals are dispersed. They therefore weight the market price h...

Identification of useful patterns in price movement of a stock in stock market needs tremendous analytical skills and effort. Careful analysis of the available technical indicators will help finding the right timing of trading of a stock to maximize the gains. To help investors manage their portfolios, we propose a tool for clustering and classification of stock market data using an unsupervise...

It has been argued that investors who optimize their portfolios with attention paid only to mean and standard deviation will all end up choosing some multiple of a certain master fund portfolio. Justification for the capital asset pricing model of classical portfolio theory, which relates individual assets to such a master fund, has come from this direction in particular. Attempts have been mad...

The “crowd” in online crowdfunding is no longer just comprised of retail investors; in fact, debt-based crowdfunding or peer-to-peer lending has long attracted the interest of institutional investors. Given their expertise, institutional investors are often referred to as “smart money” in traditional financial markets. It is not clear however how they may behave in this nascent market, and more...

T his paper ascertains the extent of mispricing in equity portfolios, mispricing-divestment relation, and the role of African equities as risk diversification strategies during commodity market turbulence. Following Baur and Lucey (2010), one identifies an arbitrary commodity market crisis to be 1%, 5%, and 10% declining moments in returns. However, their approach is extended by usin...

We analyze the effect of model instability on long-term investors using a time-varying VAR(1) model that we estimate using Bayesian Markov Chain Monte Carlo techniques for state-space specifications. Our model is able to handle time-varying intercepts, time-varying slopes, time-varying volatility, time-varying correlation, the leverage effect and fat tails. We calculate the optimal portfolios o...

The market and distribution of investment products that contribute to the achievement Sustainable Development Goals (SDGs), as a paradigm 2030 Agenda, are instruments investors should incorporate into their financial portfolios. This paper analyses investors' preferences for funds in policy SDG 6. Choice experiment methodology has been applied try obtain valuation by Spanish investors. A survey...

Rational investors perceive correctly the value of financial information. Investment in information is therefore rewarded with a higher Sharpe ratio. Overconfident investors overstate the quality of their own information, and thus attain a lower Sharpe ratio. We contrast the implications of the two models using a survey of customers of an Italian leading bank with portfolio data and measures of...