We use unique institutional securities holdings data to examine the trading behaviour of delegated capital and its impact on bond risk premia. show that fund managers trade strongly procyclically: they actively move into higher yielding, longer duration lower rated as yields fall spreads compress, vice versa. Funds more exposed negative increase their risk-taking strongly, this effect is partic...

We propose a tractable model of asset management in which benchmarking arises endogenously, and analyze its welfare consequences. Fund managers' portfolios are not contractible they incur private costs running them. Incentive contracts for fund managers create pecuniary externality through their effect on prices. Benchmarking inflates prices creates crowded trades. The crowding reduces the effe...

In an asset-pricing model, risk-averse agents need to forecast the conditional variance of a stock’s return. A near-rational restricted perceptions equilibrium exists in which agents believe prices follow a random walk with a conditional variance that is self-fulfilling. When agents estimate risk in realtime, recurrent bubbles and crashes can arise. These effects are stronger when agents allow ...

This paper documents that political factors can be linked to the part of stock prices that cannot be explained by the standard present value models. The non-fundamental component of stock market index appears to be significantly influenced by the political orientation of the president and his approval rating, election cycle and military conflicts. The findings presented here indicate that there...

We are the first paper to analyse and confirm the existence and extent of rational informational herding and rational informational contrarianism in a financial market experiment, and to compare and contrast these with the equivalent irrational phenomena. In our study, subjects generally behaved according to benchmark rationality. Moreover, traders who should herd or be contrarian in theory are...

We analyze time series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However, investor expectations are strongly negatively correlated with model-based expected returns. The evidence i...

This paper assesses the day of the week effect of the daily depreciation of the Turkish lira (TL) against the US dollar (USD) and its volatility. The empirical evidence from Turkey presented here suggests that Thursdays are associated with higher and Mondays with lower depreciation rates compared to those of Wednesdays. Moreover, Mondays and Tuesdays are associated with higher volatility than W...

∗Department of Neurology, York District Hospital, Wigginton Road, York YO3 7HE, UK; †The Roald Dahl EEG Unit, Alder Hey Children’s Hospital, Eaton Road, West Derby, Liverpool L12 2AP, UK; ‡Birmingham University Seizure Clinic, Queen Elizabeth Psychiatric Hospital, Edgbaston, Birmingham B15 2QZ, UK; §The National Hospital for Neurology and Neurosurgery, Queen Square, London WC1N 3BG, UK; ¶The Su...

Performance of the "quasi-REML" method for estimating correlations between a continuous trait and a categorical trait, and between two categorical traits, was studied with Monte Carlo simulations. Three continuous, correlated traits were simulated for identical populations and three scenarios with either no selection, selection for one moderately heritable trait (Trait 1, h2 = .25), and selecti...

Objective To assess clinical and patient-reported outcomes of implant-prosthetic rehabilitations in patients with a history head–neck cancer (HNC), treated tumor resection without (TR) or adjuvant radiotherapy (TR/RT). A healthy cohort rehabilitated the same reconstructive protocols served as control group (C). Materials Methods total 28 women 29 men were considered present retrospective study....