This paper presents a political economy model where there is mutual feedback between investor protection and stock market development. Better investor protection induces companies to issue more equity and thereby leads to a broader stock market. In turn, equity issuance expands the shareholder base and increases support for shareholder protection. This feedback loop can generate multiple equili...

This study examines the impact of investor sentiment on the Taiwan Futures Exchange. The application of the EGB2 model reveals the existence of a clear and significant relationship between sentiment and volatility, particularly in the MSCI, TE and TF futures markets. We find that all sentiment variables have limited forecasting power, and that negative return shocks will ultimately lead to an i...

We derive optimal portfolio weights for an investor who has a strong belief on the distribution of the stock price at a future time. That distribution may be in disagreement with standard equilibrium pricing models, and the investor wants to take advantage of the perceived mispricing and attractive risk premium. We compute numerically optimal weights for models in which the investor believes th...

This paper describes the Distribution Builder, an interactive tool that can elicit information about an investor's preferences. Such information can, in turn, be used when making decisions about investment alternatives over time for that investor. The approach can also be employed when conducting surveys designed to obtain data on the crosssection of investor preferences. Hopefully, such data c...

We construct investor sentiment of UK stock market using the procedure of principal component analysis. Using sentiment-augmented EGARCH component model, we analyse the impacts of sentiment on market excess return, the permanent component of market volatility and the transitory component of market volatility. Bullish sentiment leads to higher market excess return while bearish sentiment leads t...

The contribution of investors to the performance of their portfolio companies within the VC industry has been researched thoroughly. A novel aspect of this paper is that it examines the impact of a syndicated investment using two different measures: (a) the total number of investors; and (b) the total number of different investor types. Using a novel dataset and while controlling for the endoge...

This paper studies whether managers use investor information they learn from the stock market when making forward-looking disclosures. Using annual management earnings forecasts from 1996 to 2010, I find that the association between forecast revisions and stock price changes over the revision periods is stronger when there is more informed trading. Further, the effect of investor information on...

We examine the problem of setting optimal incentives to a portfolio manager (to be employed by an investor through a contract) making an ambiguity-robust portfolio choice with respect to estimation errors in expected returns. We consider a one-period model with a set of risky assets (with multivariate normal returns) whose expected returns are estimated with uncertainty and a linear sharing rul...

This study is aimed to find out the investment strategy and performance betwen foreign investrors domestics investror who have transaction in Indonesia Stock Excange. A Proxy used see Investment Strategy Performance this Trading Profit from wich has been done by investors. chossen bt investors can be seen investor’s tendency doing some sales which contains shareds with positive negative valued ...

This dissertation analyzes where and when experienced investors add value to startups. Building on the resource-dependence theory and the relational view of the firm, I argue that the positive effect of investor experience on startup performance is stronger when the startup faces a more uncertain environment. The first essay predicts a greater effect of investor experience early in the life cyc...