I consider an environment in which entrepreneur generates information about the quality of his project prior to contracting with investor. The investor faces a moral hazard problem since may divert funding for private consumption. find that efficient amount is generated if and only bargaining power high enough. interpret this result terms investors' tightness, competitiveness, generosity measur...

f * % An empirical investigation of the relevance of investor relations.

This paper examines the problem of choosing the optimal portfolio for an investor with asymmetric attitude to gains and losses described in the prospect theory of A. Tversky and D. Kahneman. We consider the portfolio optimization problem for an investor who follows the assumptions of the prospect theory and the cumulative prospect theory under conditions on the stochastic behavior both of the p...

Warren Buffett famously stated two rules for investing: Rule #1. Never lose money, and Rule #2. Never forget Rule #1. Recent Peer Lending opportunities provide the individual investor to earn an interest rate significantly higher than that of a savings account. However, a default on the loan by the borrower means the investor will lose her entire principal. In this paper, we will use Machine Le...

The paper investigates one important aspect of long-term investor response to marketing actions, namely, the relationship between advertising spending and stock return. We hypothesize that advertising can have a direct effect on valuation, i.e. an effect over and above its known impact on revenue and profit response. The empirical results in two industries support our hypothesis and quantify th...

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor sentiment that may better capture irrational sentiment. This new index predicts returns better than ...

This paper describes strategic behavior in a nonequilibrium model of asset pricing with heterogeneous sophistication. Both risk and return are increasing in the naïveté of investors in the market. Optimal investment involves considering the effect that naïve investors have on the market. Further, we derive a simple characterization of the asset price dynamics that results from an arbitrary comb...

This paper looks at the effect of shareholder horizon on corporate behavior. In perfect capital markets, corporate behavior should be insensitive to shareholder horizon, but when investment opportunities are not well valued by the market, shareholder horizon matters. We first present a simple framework to show that shareholder horizon should be looked at in conjunction with stock misvaluation. ...