Recent work on intertemporal choice has varied the specification of every key aspect of modeling except the opportunity cost of consumption. We present evidence that consumers have present-biased perceptions of this parameter: they tend to underestimate the cost of short-term borrowing and the return to long-term saving. We develop a new theory that fits this evidence and is based on a more gen...

This study examines whether institutional investors’ voting for All-Star financial analysts is affected by analyst beauty. Using a sample of 1,135 U.S. analysts and controlling for analyst performance, we document that beauty, on average, does not affect the outcome of All-Star analyst voting. However, a beauty premium emerges in those sectors where there is high information asymmetry on analys...

Robust portfolio optimization has been developed to resolve the high sensitivity to inputs of the Markowitz mean-variance model. Although much effort has been put into forming robust portfolios, there have not been many attempts to analyze the characteristics of portfolios formed from robust optimization. We investigate the behavior of robust portfolios by analytically describing how robustness...

In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known or unknown rates when the underlying time series is strictly stationary and strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with dependent data and present two applications to assessing nancial market risk. Our method perform...

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically approximate equilibria for a variety of di erent speci cations for preferences, endowments and dividends and c...

We explain how to optimize portfolios of bonds and stocks with respect to the Expected Shortfall (ES), respectively RORC or RORAC based on ES. In a pragmatic approach we combine and correlate a stock market model with geometric brownian motions with a two-factor Cox-Ingersoll-Ross (CIR-2) model for the interest rates/bonds. We use recent results from the theory of risk capital allocation, perfo...

The share price represents the company's value on market; buyers and sellers establish based quantity of demand supply shares. This research looks at how market capitalization, trading volume, BV, DER are used to analyze variations. aims understand investor behavior in fluctuating situations. method is multiple linear regression, data collection secondary data. study's results indicate a relati...

ABSTRACT This study investigates biases in tax decisions. In a series of four laboratory experiments with 303 students and 62 professionals, we document systematic tax-rate bias decisions under time constraints. Specifically, decision makers overestimate the relevance less complex information compared to more tax-base information. behavior leads suboptimal We also find that making, on average, ...

In this paper, we solve the intertemporal investment problem of an investor holding a portfolio of default-free and defaultable bonds. Default-risk is modeled in an intensity based framework with state variables following an a¢ne di¤usion. The structure of the optimal portfolio over time is investigated and compared to the static meanvariance portfolio. Furthermore, we describe the impact of ti...