We consider an investor in a financial market consisting of a riskless bond and several risky assets. The price processes of the risky assets are geometric Brownian motions where either the drifts are modelled as random variables assuming a constant volatility matrix or the volatility matrix is considered random and drifts are assumed to be constant. The investor is only able to observe the ass...

Duesenberry introduced the notion of a ratchet investor who does not tolerate any decline in her consumption rate. We connect the demand behavior of such an agent to the behavior of standard time–additive agents. A ratchet investor demands the running maximum of the optimal plan a conventional time–additive investor with lower initial wealth would choose. JEL subject classification. D91

Using the Chinese stock market data as sample, this paper investigates the impact of investor sentiment on the assets valuation. In order to classify stocks objectively, our sample stocks are sorted by double indicators (B/M and PE). In the portfolio, we find stocks with low B/M and high PE are sensitive to investor sentiment, which are considered to be costly to arbitrage. Investor sentiment h...

We consider the problem of a mutual fund manager that maximizes the present value of expected fees and has to decide the level of fee to impose on the fund. The fee will be paid by a risk averse investor that maximizes expected utility over final wealth. This investor can invest either in an indexed fund or in a managed fund. The manager has superior ability and, as a result of it, the fund off...

We investigate whether time-series variation in consumer confidence affects the long-run association between prices and accounting based measures of fundamental value (hereafter, fundamentals). We estimate the components of consumer confidence related to expected growth and investor sentiment. We find a significant role for both expected growth and investor sentiment on the time-series associat...

a r t i c l e i n f o In this paper, I investigate the determinants of price differences in the shares of cross-listed firms in domestic and foreign markets. Diverging from the literature in this field, I introduce a methodology that is independent of any specific form of utility function. My theoretical analysis indicates that investment opportunities and consumption growth cause price dispari...

a r t i c l e i n f o The systematic and important role of investor sentiment has been supported by some recent empirical and theoretical literatures. In this paper, we present a dynamic asset pricing model with heterogeneous sentiments and we find that the equilibrium stock price is the wealth-share-weighted average of the stock prices that would prevail in an economy with one sentiment invest...

In the decades before the 1997–1998 Asian financial crisis, South Korea and Thailand experienced sustained economic growth attributable to investment growth and productivity gains. The investment underlying this economic expansion was financed by relatively high levels of private savings as well as by foreign borrowing. During the crisis, international creditors lost confidence in these countri...

The purpose of this article is to investigate whether the securities regulation put forward by the EU contributes to an efficient stock market. An event study of investor meetings/presentations held by listed Danish firms is conducted. The article finds significantly positive abnormal returns a few days around investor meetings. Share turnover reaches maximum one day after investor meetings. Th...

We consider: i) a “dynamic” investor who rebalances over time, treats returns as i.i.d., and accounts for learning; ii) a “static” buy-and-hold investor who is aware of predictability and estimation risk. Both investors are internationally-diversified and combine information on longand short-history markets using cross-inference. For a dynamic investor, cross-inference generates separate hedgin...