A5066917092- Financial Markets and Investment Strategies
- Housing Market and Economics
- Financial Literacy, Pension, Retirement Analysis
- Banking stability, regulation, efficiency
- Decision-Making and Behavioral Economics
- Market Dynamics and Volatility
- Forecasting Techniques and Applications
- Meta-analysis and systematic reviews
- Insurance and Financial Risk Management
- scientometrics and bibliometrics research
- Data Analysis with R
- Sports Analytics and Performance
- Monetary Policy and Economic Impact
- Complex Systems and Time Series Analysis
Salisbury University
2018-2024
ABSTRACT In statistics, samples are drawn from a population in data‐generating process (DGP). Standard errors measure the uncertainty estimates of parameters. science, evidence is generated to test hypotheses an evidence‐generating (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard (NSEs). study NSEs by letting 164 teams same on data. turn out be sizable, but smaller for more reproducible or higher rated research. Adding peer‐review stages reduces NSEs....
In statistics, samples are drawn from a population in data-generating process (DGP). Standard errors measure the uncertainty sample estimates of parameters. science, evidence is generated to test hypotheses an evidence-generating (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams six on same sample. find sizeable, par with standard Their size (i) co-varies only weakly team merits, reproducibility, or peer rating, (ii)...
Hedged mutual funds flourished following the 2007–2009 financial crisis. They became particularly popular with advisors because of their alleged downside protection. Did these deliver what they promised? We examine performance a focus on post-2009 period. While generated positive alphas before crisis, we find that this abnormal vanishes in period as strategies increasingly crowded due to above popularity. show flows hedged are negatively related investor sentiment, implying investors use...
In this paper, we use the well-documented mutual fund flow-performance relationship to infer information about investors' preferences. We show that applying preference parameter values from experimental settings market data can significantly understate role of prospect theory in explaining investor behavior. find evidence investors exhibit loss aversion and differential attitudes toward risk over losses (risk-seeking) gains (risk-averse) but no significant probability weighting when...
There is little empirical evidence regarding downside risk in asset pricing, due part to problems inherent estimating risk. We argue that Berk and van Binsbergen (2016)'s approach testing pricing models using the relation between investor flows risk-adjusted fund returns well suited for examining merits of extend analysis (2016) Barber et al. by showing investors care more about market than unconditional when choosing mutual funds. Our study provides novel insights investors' preferences....
In this paper, we use the well-documented mutual fund flow-performance relationship to infer investors' preferences under global risk aversion (GRA) and reference-dependent (RDP). Our methodology yields preference parameter values that maximize explanatory power of expected utility returns on flows two frameworks. We provide evidence RDP outperform GRA framework in explaining flows. results indicate investors exhibit loss have differential attitudes toward over losses (risk-seeking) gains...
When stock prices deviate from their fundamental values due to excess demand, investors anticipate reversals and trade in the options market exploit temporary misvaluation. This leads options’ predictability of returns beyond well-known informed trading channel. Using S&P 500 index inclusions, we examine how option predict reversal a non-fundamental demand shock price. We find that implied volatility skew stocks added becomes steeper months following inclusion. effect is not caused by an...
Hedged mutual funds proliferated following the 2007-2009 financial crisis. They became particularly popular with advisors because of their alleged downside protection. Did these deliver what they promised? We examine performance a focus on post-2009 period. While generated positive alphas before crisis, we find that this abnormal vanishes in period as strategies become increasingly crowded due to above popularity. show flows hedged are negatively related investor sentiment, implying...