Using an agent-based multi-asset artificial stock market, we simulate the survival dynamics of investors with different risk preferences. It is found that the survivability of investors is closely related to their risk preferences. Among the eight types of investors considered in this paper, only the CRRA investors with RRA coefficients close to one can survive in the long run. Other types of a...

We experimentally explore how investor decision horizons influence the formation of stock prices. We find that in long-horizon sessions, where investors collect dividends till maturity, prices converge to the fundamental levels derived from dividends through backward induction. In short-horizon sessions, where investors exit the market by receiving the price (not dividends), price levels and pa...

This research extends agency theory by exploring the influence of varied, competing, principal interests on executive actions. Findings reveal that ownership of a firm by dedicated institutional investors, who hold concentrated portfolios over time, is positively associated with firm use of strategic competitive actions. Ownership by transient institutional investors, who hold broad portfolios ...

We are HIV. Our family is ancient. Out of Africa, Monkey to man, From the trees and forests, To the towns and cities. We are here. For we are HIV, we are legion. Our children are billions, Our home, in your defenses, In your blood, your brain, Your saliva, your semen. We are everywhere. For we are HIV, we are immortal. We are part of you, And you of us, We live with you, but May not die with yo...

This study tests the Miller (1977) hypothesis as an explanation for stock price behavior around technology firms’ earnings announcements during the late 1990s. Specifically, we examine whether the anomalous tendency for stock prices to increase (decrease) before (after) earnings announcements during this period is associated with an increase (decrease) in investor disagreement before (after) th...

The use of valuation has an externality: it creates information on which adverse selection can occur. We study a market in which investors provide external financing for real investment projects. A subset of investors, sophisticated investors, can buy a technology to value a given number of projects, and reject those with low payoffs, Because rejected projects can seek funding from other invest...

This paper models the attention allocation of portfolio investors. Investors choose the composition of their information subject to an information flow constraint. Given their expected investment strategy in the next period, which is to hold a diversified portfolio, in equilibrium investors choose to observe one linear combination of asset payoffs as a private signal. When investors use this pr...

Using brokerage account data, we analyze the tax awareness of individual investors. We find strong evidence that taxes matter: investors prefer to locate bonds and mutual funds in retirement accounts and, in December, harvest stock losses in their taxable accounts. However, investors also trade actively in their taxable accounts, realize gains more frequently than losses, and locate a material ...

This paper examines optimal policy when agents, private investors and a government, can learn about the economy by observing others. Investors can delay investment in order to exploit future information. Importantly, investors ignore the informational value of their actions to others when deciding: this externality results in inefficiently high delay, motivating government intervention. The gov...

This paper presents a dynamic asset-pricing model under asymmetric information. Investors have different information concerning the future growth rate of dividends. They rationally extract information from prices as well as dividends and maximize their expected utility. The model has a closed-form solution to the rational expectations equilibrium. We find that existence of uninformed investors ...