This study tests the Miller (1977) hypothesis as an explanation for stock price behavior around technology firms’ earnings announcements during the late 1990s. Specifically, we examine whether the anomalous tendency for stock prices to increase (decrease) before (after) earnings announcements during this period is associated with an increase (decrease) in investor disagreement before (after) th...

Using data on security holdings of 10,771 institutional investors from 72 different countries, we test whether concentrated investment strategies result in superior abnormal returns to institutional investors. We examine three measures of portfolio concentration: home country, foreign country, and industry concentration and show that portfolio concentration leads to higher abnormal returns of i...

The tension between two margins of information acquisition is studied in a canonical two-period model of portfolio choice. At the intensive margin, an investor chooses the amount of information. At the extensive margin, investors subscribe to the information source. Only if the number of informed investors at the extensive margin is sufficiently small does acquisition of additional information ...

We study multi-period trading strategies of institutional investors who plan to trade the same security during some finite time horizons. Investors who trade large volumes face a price impact that depends on their trading volumes simultaneously, and is usually represented as a function, the so called price-impact function. We show through a numerical example that a trading strategy, optimal for...

Keywords: Robust optimization Mean–variance portfolio theory Ellipsoidal uncertainty Equilibrium price system a b s t r a c t In a financial market composed of n risky assets and a riskless asset, where short sales are allowed and mean–variance investors can be ambiguity averse, i.e., diffident about mean return estimates where confidence is represented using ellipsoidal uncertainty sets, we de...

This paper investigates overconfidence among individual stock investors. We focus on Turkey in order to use a unique nationwide dataset and study how common overconfidence is, what factors affect overconfidence and how overconfidence relates to investor return performance. Our findings show that overconfident behavior is common among individual stock investors. Male, younger investors, investor...

This article formalizes investor rationality and irrationality, exuberance and apprehension, to consider the implications of belief formation for the fragility of an economy’s financial structure. The model presented generates a financial structure with portfolio linkages that make it susceptible to contagious financial crises, despite the absence of coordination failures. Investors forecast th...

a number of theories about the hest method of allocating assets have been developed over the years, managers are concernd about allocating scarce resources, mainly capital, in most productive way. managers want to ensure that the return from the invested resources exceeds the cost of resources finanical theories and finanicial strategies try to facilitate creating optimum value for investors in...

We establish two previously undocumented patterns in the purchase selections of individual investors and confirm a related pattern. These patterns hinge on investors’ previous experience with a stock. We demonstrate that investors prefer to (1) repurchase stocks that they previously sold for a gain, (2) repurchase stocks that have lost value subsequent to a prior sale, and (3) purchase addition...