Modern asset pricing theory generally assumes frictionless trading. Under this assumption, an investor would revise his portfolio holdings at every date on which he could trade. However, in models where an investor faces financial market frictions such as transactions costs, the portfolio is optimally rebalanced less frequently. This paper examines the portfolio trading problem for an investor ...

In this paper, we study the optimal portfolio selection problem of weakly informed traders in the sense of Baudoin [1]. Instead of considering only expected utility maximizers, we also take into consideration different preference paradigms. In particular, we analyze a representative agent who follows the tenets of cumulative prospect theory as developed by Kahneman and Tversky [15], together wi...

Do firms time the release of news in response to investor inattention? We consider news about earnings and analyze the reaction of investors to announcements on Friday and on other weekdays. The announcements have two main effects on stock returns. First, the short-term response to Friday earnings announcements is 20 percent smaller than the response on other days of the week. Second, the post-...

 Abstract 9025 Genomic profiling of circulating tumor DNA (ctDNA) from patients (pts) with advanced non-small cell lung cancer (NSCLC). Poster Board #351  Abstract 9064 Updated efficacy and safety of the j-alex study comparing alectinib (ALC) with crizotinib (CRZ) in ALK-inhibitor naïve ALK fusion positive non-small cell lung cancer (ALK+ NSCLC). Poster Board #390  Abstract 9092 Atezolizumab...

This study estimates IMAX and IMIN to measure lottery hazard stocks, investigates how investors’ reactions these extreme returns affect the cross-section of stock returns. We show that is negatively related future measures stocks. Furthermore, we also has a negative relationship with returns, contrary theory, suggesting existence anomaly in Korean market. anomaly, which caused by under-reaction...

This study focuses on the market reaction to information transfers from economically linked customers. I examine whether investors have limited attention with respect to the information contained in customer earnings announcements for suppliers. Using 1083 unique customer–supplier relationships for the period 1983–2011, I find that the cumulative abnormal returns of a supplier surrounding and f...

Impact of investor sentiments on mean variance trade off with respect to Pakistani market has been investigated in this paper. Composite index for Investor Sentiments for Karachi stock exchange is developed. The six measures incorporated in the composite investor sentiment index are closed end fund discount, KSE turnover, the number of IPOs, average first day returns of IPOs, equity share in ne...

Building on Schnitzer (1998), this paper develops a model of strategic interaction between a foreign direct investor, a host country, and the investor’s country. By including the investor country we are able to consider the impact of political retaliation on the likelihood of expropriation. The model confirms that expropriation is more likely for lower technology sectors and site-specific asset...

Corporations in most countries are run by controlling shareholders, who have substantially smaller cash flow rights than their control rights in the firm. This separation of ownership and control allows the controlling shareholders to pursue private benefits at the cost of outside minority investors by diverting resources away from the firm and distorting corporate investment and payout policie...

We exploit the restrictions of intertemporal portfolio choice in the presence of nonfinancial income risk to design and implement tests of hedging that use the information contained in the actual portfolio of the investor. We use a unique dataset of Swedish investors with information broken down at the investor level and into various components of wealth, investor income, tax positions and inve...