Shareholders of a Regional Bell Operating Company (RBOC) tend to live in the area which it serves, and an RBOC's customers hold its shares rather than other RBOCs' equity. The geographic bias RBOC investors is closely related general tendency households' portfolios be concentrated, employees' own their employers' stocks retirement accounts, home country international arena. Together, these phenomena provide compeling evidence that people invest familiar while often ignoring principles...

ABSTRACT A Sunday New York Times article on a potential development of new cancer‐curing drugs caused EntreMed's stock price to rise from 12.063 at the Friday close, open 85 and close near 52 Monday. It closed above 30 in three following weeks. The enthusiasm spilled over other biotechnology stocks. breakthrough cancer research already had been reported, however, journal Nature , various popular newspapers (including ) more than five months earlier. Thus, enthusiastic public attention...

ABSTRACT The authors propose a likelihood‐ratio test of the hypothesis that minimum‐variance frontier set K assets coincides with this and another N assets. They study relation between hypothesis, exact arbitrage pricing, mutual fund separation. distribution statistic is available. spanned by three size‐sorted stock portfolios same as thirty‐three portfolios.

Combining survey responses and trading records of clients a German retail broker, this paper examines some the causes for apparent failure to buy hold well-diversified portfolio. The subjective investor attributes gleaned from help explain variation in actual portfolio choices. Self-reported risk aversion is single most important determinant both diversification turnover; other things equal, investors who report being more tolerant less diversified portfolios trade aggressively. Less...

Abstract Bitcoin provides its users with transaction-processing services which are similar to those of traditional payment systems. This article models the novel economic structure implied by Bitcoin’s innovative decentralized design, allows system be reliably operated unrelated parties called miners. We find that this design protects from monopoly pricing. Competition among service providers within platform and free entry imply no entity can profitably affect level fees paid users. Instead,...

Abstract Most of the market microstructure literature focuses on liquidity individual securities, whereas much asset pricing examines association between systematic risk and return. We document presence a systematic, time‐varying component liquidity. At moment, neither inventory nor asymmetric information‐based approach to explains JEL classification: G10, G12

In an environment where trading volume affects security prices and are uncertain when trades submitted, quasi-arbitrage is the availability of a series that generate infinite expected profits with Sharpe ratio. We show price impact permanent time-independent, only linear price-impact functions rule out thus support viable market prices. When have also temporary impact, must be while one can more general form. extend analysis to time-dependent framework.

ABSTRACT A German broker's clients place similar speculative trades and therefore tend to be on the same side of market in a given stock during day, week, month, quarter. Aggregate liquidity effects, short sale constraints, systematic execution limit orders (coordinated through price movements) or correlated trading other investors who pick off retail do not fully explain why trade similarly. Correlated lead returns, presumably due persistent pressure. also predict subsequent consistent with...

A liquidity trader wishes to trade a fixed number of shares within certain time horizon and minimize the mean variance costs trading. Explicit formulas for optimal trading strategies show that risk-averse traders reduce their order sizes over execute higher fraction total volume in early periods when price volatility or increases. In presence transaction fees, want less often either goes up speed reversion declines. multi-asset case, effects across assets have substantial impact on behavior.

ABSTRACT We characterize the sets of mimicking positions with returns that can serve in place factors an exact K ‐factor arbitrage‐pricing relation for a set N assets. All are ‐dimensional nonsingular linear transformations each other. interpret three examples such and discuss empirical considerations. provide conditions under which be expressed as portfolios, we between portfolios minimum‐variance frontier.

Bitcoin provides its users with transaction-processing services which are similar to those of traditional payment systems. This paper models the novel economic structure implied by Bitcoin's innovative decentralized design, allows system be reliably operated unrelated parties called miners. We find that this design protects from monopoly pricing. Competition among service providers within platform and free entry imply no entity can profitably affect level fees paid users. Instead, a market...

The authors propose a likelihood-ratio test of the hypothesis that minimum-variance frontier set K assets coincides with this and another N assets. They study relation between hypothesis, exact arbitrage pricing, mutual fund separation. distribution statistic is available. spanned by three size-sorted stock portfolios same as thirty-three portfolios.

Owned by nobody and controlled an almost immutable protocol the Bitcoin payment system is a platform with two main constituencies: users profit seeking miners who maintain system's infrastructure. The paper seeks to understand economics of system: How does raise revenue pay for its infrastructure? are usage fees determined? much infrastructure deployed? What implications changing parameters in protocol? A simplified economic model that captures properties answers these questions. Transaction...

Building on recent developments in behavioral asset pricing, we develop a model which an increase the dispersion of investor beliefs under short-selling constraints predicts bubble, or rise stock's price above its fundamental value. Our that managers respond to bubbles by issuing new equity and increasing capital expenditures. We test these predictions, as well others, using variance analysts' earnings forecasts - proxy for identify bubble component Tobin's Q.

This paper studies the relation between Value Line's successful record in predicting relative stock-price movements and firm size effect. The data suggest little direct two phen omena. Line tends not to rank small-firm stocks, stocks that are ranked more likely receive a low than la rge-firm stocks. Within each size-sorted quintile of market, mean payoffs on costless positions constructed according Lin e's recommendations positive. Copyright 1987 by University Chicago.

The paper's introduction offers a high-level review of Bitcoin's features, especially its governance by protocol. paper proceeds to summarize analysis as payment system. It pays particular attention comparison between Bitcoin and firm-run