This paper develops a sequential random matching model of asset trading to analyze how the extent of information about an asset that is available in the market can affect its tradeability. Liquidity traders are rational agents with higher impatience, which make optimal intertemporal consumption decisions given the trading constraints. Information asymmetries result in unexecuted trades. Agents ...

This paper investigates the performance of hedge funds adjusted for higher order risk factors. Traditional risk-adjusted performance measures are subject to size distorted in the presence of skewness and kurtosis. A residual augmented least squares approach to model higher order risk moments in returns allows us to estimate a robust risk-adjusted performance measure for hedge funds. In a compar...

During financial crises equity portfolios have suffered large losses. Methodologies for portfolio selection taking into account the possibility of large losses have existed for decades but their economic value is not well established. This article investigates the economic value in reducing the probability of large losses in portfolio selection. We combine mean-variance analysis with semi-param...

We examine how investor preferences and beliefs affect trading in relation to past gains and losses. The probability of selling as a function of profit is V-shaped; at short holding periods, investors are more likely to sell big losers than small ones. There is little evidence of an upward jump in selling at zero profits. These findings provide no clear indication that realization preference ex...

This paper examines the “relative” information contained in insider director transactions. We find that insider transactions of multi-company directors reflect superior information about future relative returns; that is, directors are more likely to buy (sell) stocks of firms they direct that have better (worse) future returns. Examining related issues, we find weak support that December tax lo...

Using the Dow Jones Industrial Average Index record breaking days as a proxy for market wide attention, we show that as the aggregate stock market intensifies investor attention, stock market response to individual firms’ earnings announcements significantly increases. We hypothesize that there are many channels for the attention spill-over effect and document strong supportive evidence of one ...

Campbell, Lettau, Malkiel, and Xu (2001) document a positive trend in idiosyncratic volatility during the 1962–1997 period. We show that by 2003 volatility falls back to pre-1990s levels. Furthermore, we show that the increase and subsequent reversal is concentrated among firms with low stock prices and high retail ownership. This evidence suggests that the increase in idiosyncratic volatility ...

Nous utilisons le modèle de Grossman & Stiglitz (1980) pour construire un portefeuille référence les investisseurs non informés et nous ce évaluer la performance des fonds communs placement en actions, gérés activement. proposons une méthodologie empirique utilisant informations sur prix actions l’offre titres. montrons alors que fournissent, moyenne, alpha significatif 23 points base par a...

This study was aimed at obtaining information on the effects of G × E interaction yield among doubled haploid lines (DH) lowland rice and to obtain stable high yielding lines. The experiment conducted in 9 environments (E), namely Indramayu (2018), Subang Malang I II (2019), Blitar Cianjur Lombok Bali Madiun (2019). A randomized complete block design with 3 replications used each location. geno...