Add to ORKGAbstract This paper finds that fund managers do not expect mean reverting returns, as suggested by theory and empirical evidence, but mean averting returns. The degree of mean aversion is positively related to preferences for non-fundamental information and loss aversion
Mean reversion refers to the tendency of asset prices to return to a long term trend. The existence ...
We hypothesize that when confronted with a loss, investors price earnings conditional on the expecte...
The literature documents a convex relation between past returns and fund flows of mutual funds. We s...
This paper finds that fund managers do not expect mean reverting returns, as suggested by theory and...
Employing a mean-variance framework and a multivariate GARCH model, the degree of risk aversion exh...
This paper investigates the degree of risk aversion exhibited by Irish fund managers. Assuming a mea...
We investigate whether regret can explain mutual fund managers' risk-shifting behavior. We propose a...
The issue of whether mutual fund managers behave as though they are competing in a tournament has be...
We analyze time series of investor expectations of future stock market returns from six data sources...
We investigate whether regret can explain mutual fund managers’ risk-shifting behav-ior. We propo...
For a long investment period investment consultants usually recommend a larger proportion of risky a...
We test whether fund managers have stock-picking skill by comparing their holdings and trades prior ...
A fund's performance is usually compared to the performance of an index or other funds. If a fund tr...
Market sentiment, past index returns and fund’s past index-adjusted returns affect how much fund hol...
It is well-known that the level of closed-end fund discounts appears to predict the corresponding fu...
Mean reversion refers to the tendency of asset prices to return to a long term trend. The existence ...
We hypothesize that when confronted with a loss, investors price earnings conditional on the expecte...
The literature documents a convex relation between past returns and fund flows of mutual funds. We s...
This paper finds that fund managers do not expect mean reverting returns, as suggested by theory and...
Employing a mean-variance framework and a multivariate GARCH model, the degree of risk aversion exh...
This paper investigates the degree of risk aversion exhibited by Irish fund managers. Assuming a mea...
We investigate whether regret can explain mutual fund managers' risk-shifting behavior. We propose a...
The issue of whether mutual fund managers behave as though they are competing in a tournament has be...
We analyze time series of investor expectations of future stock market returns from six data sources...
We investigate whether regret can explain mutual fund managers’ risk-shifting behav-ior. We propo...
For a long investment period investment consultants usually recommend a larger proportion of risky a...
We test whether fund managers have stock-picking skill by comparing their holdings and trades prior ...
A fund's performance is usually compared to the performance of an index or other funds. If a fund tr...
Market sentiment, past index returns and fund’s past index-adjusted returns affect how much fund hol...
It is well-known that the level of closed-end fund discounts appears to predict the corresponding fu...
Mean reversion refers to the tendency of asset prices to return to a long term trend. The existence ...
We hypothesize that when confronted with a loss, investors price earnings conditional on the expecte...
The literature documents a convex relation between past returns and fund flows of mutual funds. We s...