Does experience modulate elicited risk preferences? How does experience shape expectations? This paper provides evidence that investors’ own experiences play a key role in shaping revealed risk preferences and the weighting of past observations when forming expectations. The results suggest that experiencing severe negative or positive returns leads subjects’ revealed preferences to become clos...

We consider a simple CAPM with heterogenous expectations on assets’ mean returns and homogenous expectations on the covariance of returns. In this model alpha-opportunities naturally arise in a financial market equilibrium. We show that that the hunt for alpha-opportunities is a zero-sum game and that alpha-opportunities erode with the assets under management. Moreover, it is shown that a posit...

The real rate of interest indicates borrowing costs (or the return on an investment in financial assets), disregarding price increases. The expected real interest rate is important to investments, consumption and savings, and is therefore significant in the evaluation of economic prospects. The problem is that since the inflation expectations of investors and borrowers are not known, it cannot ...

This study adopts derivative pricing as an indicator of market expectations, with those results suggesting that general investors can use market expectations to predict the final settlement value of underlying assets. Most investment textbooks note that one of the major functions of futures is price discovery. Similarly, the implied volatility associated with option prices can be used to discov...

The purpose of this research was to learn about the differences in EVA created by large and small asset group companies, relationship between EAT EBIT, how differs from company's characteristics (equity, liability, assets, sales revenue) depending on group. All sectors at BEI will be researched January 2018 December 2020.
 idea that underpins is theory a financial performance, which can ev...

The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria with short-selling when investors have a single belief about future returns, is reconsidered. Investors use measures of risk. The overlapping sets of priors and the Pareto equilibrium conditions introduced by Heath and Ku for c...

This paper examines the logics and expectations of entrepreneurs and business angels prior to going into a relationship. Comparisons of the entrepreneurs and the business angels show difference regarding their confidence about their own mind-sets and expectations. The findings are discussed taking an institutional approach; an exogenous institutionalism is influencing the actor, as his logic an...

Motivated by psychological evidence that attention is a scarce cognitive resource, we model investors’ attention allocation in learning and study the effects of this on asset-price dynamics. We show that limited investor attention leads to category-learning behavior, i.e., investors tend to process more market and sector-wide information than firm-specific information. This endogenous structure...

This paper studies a dynamic continuous time economy with discrete dividend payment dates and anticipative private information about future dividends. The economy is populated by informed and uninformed investors as well as active unskilled investors. Both competitive and monopolistic informed behaviors are examined. The existence of noisy rational expectations equilibria is demonstrated. Equil...