DecisionSciRN: Other Investment Decision-Making (Sub-Topic)最新文献

Partial Ownership, Control, and Investment in Vertical Relationships 垂直关系中的部分所有权、控制权和投资

DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2021-08-15 DOI: 10.2139/ssrn.3475158

Nadav Levy

引用次数: 2

Do Financial Advisors Exploit Responsible Investment Preferences? 财务顾问是否利用了负责任的投资偏好?

DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2021-07-16 DOI: 10.2139/ssrn.3887716

Marten Laudi, Paul Smeets, U. Weitzel

引用次数: 0

Can Adaptive Seriational Risk Parity Tame Crypto Portfolios? 自适应序列风险平价可以驯服加密投资组合吗?

DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2021-07-15 DOI: 10.2139/ssrn.3877143

Jochen Papenbrock, Peter Schwendner, Philipp G. Sandner

{"title":"Can Adaptive Seriational Risk Parity Tame Crypto Portfolios?","authors":"Jochen Papenbrock, Peter Schwendner, Philipp G. Sandner","doi":"10.2139/ssrn.3877143","DOIUrl":"https://doi.org/10.2139/ssrn.3877143","url":null,"abstract":"As cryptocoins are not tied to fundamental values or to investor protection regulation, their price dynamics is unhinged in both directions. In institutional asset management of conventional asset classes, target volatility concepts and dynamic allocation heuristics are popular to improve the robustness of portfolios. Can similar techniques also be used to construct delevered and diversified portfolios of crypto assets? A robust candidate approach for allocation is Hierarchical Risk Parity (HRP), as it incorporates a filtered correlation structure and is less sensitive to noise than quadratic optimization, as shown in several studies. Recent publications have extended the concept of HRP in several directions. We compare some of these extensions to determine which variant is most useful for constructing crypto baskets. We find that a particular type of adaptive HRP strategy outperforms other extensions on a risk-adjusted basis, leading us to a deeper investigation of the changing nature of correlation structures between cryptos - both quantitatively and visually. We find that structural breaks in crypto correlations are prevalent and that the best-fitting hierarchical cluster representations change over time, which is only captured by distance matrix-based adaptive HRP approaches.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116854242","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Informational Frictions in Intermediated Credit Markets 中介信贷市场中的信息摩擦

DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2021-07-01 DOI: 10.2139/ssrn.3892644

M. Sockin

引用次数: 2

The Cost of Capital – A Back Up for Learners 资本的成本——给学习者的备份

DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2021-05-27 DOI: 10.2139/ssrn.3855165

S. Senthilnathan

引用次数: 1

How Competitive is the Stock Market? Theory, Evidence from Portfolios, and Implications for the Rise of Passive Investing 股票市场竞争有多激烈?理论，来自投资组合的证据，以及对被动投资兴起的影响

DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2021-04-07 DOI: 10.2139/ssrn.3821263

Valentin Haddad, Paul Huebner, Erik Loualiche

{"title":"How Competitive is the Stock Market? Theory, Evidence from Portfolios, and Implications for the Rise of Passive Investing","authors":"Valentin Haddad, Paul Huebner, Erik Loualiche","doi":"10.2139/ssrn.3821263","DOIUrl":"https://doi.org/10.2139/ssrn.3821263","url":null,"abstract":"We develop a framework to theoretically and empirically analyze investor competition on financial markets. The classic view assumes that markets are very competitive: if a group of investors changes its behavior, other investors react such that nothing happens in equilibrium. Our framework quantifies the strength of the competitive response. We estimate a demand system of institutional investors in the US stock market accounting for two layers of equilibrium: how investors compete with each other in setting their strategies and how prices adjust to clear asset markets. We find that investors react to the behavior of others in the market: when an investor is surrounded by less aggressive traders she trades more aggressively. This reaction reduces the equilibrium consequences of changes in individual behavior by 50%. However, it also implies that the stock market is far from the competitive ideal. A consequence of this result is that the large increase in passive investing over the last 20 years has led to substantially more inelastic aggregate demand curves for individual stocks, by 15%.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134220359","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 20

Investors’ Judgment and Decisions after a Cybersecurity Breach: Understanding the Value Relevance of Cybersecurity Risk Management Assurance 网络安全漏洞后投资者的判断和决策:理解网络安全风险管理保障的价值相关性

DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2021-02-01 DOI: 10.2139/ssrn.3817763

Patricia Navarro, S. Sutton

{"title":"Investors’ Judgment and Decisions after a Cybersecurity Breach: Understanding the Value Relevance of Cybersecurity Risk Management Assurance","authors":"Patricia Navarro, S. Sutton","doi":"10.2139/ssrn.3817763","DOIUrl":"https://doi.org/10.2139/ssrn.3817763","url":null,"abstract":"This study investigates how voluntary cybersecurity risk management (CyRM) assurance affects non-professional investors’ judgments and decisions. The study also examines how the value relevance of CyRM assurance is altered when having such assurance is expected/unexpected. Employing an experimental approach, we find that after a cyber-breach occurs, companies previously engaging in voluntary CyRM assurance receive more favorable investor assessments of management credibility and, in turn, higher stock valuations. We also find that investors’ assessments of management credibility and stock valuations are more extreme for companies that engage (do not engage) in CyRM assurance in industries where such assurance is not (is) the norm. This study begins to address the question of whether there is a demand for CyRM assurance offered by audit firms, particularly given lingering concerns in research and practice as to the viability of IT-related assurance services. Our research reinforces the profession’s position that management and boards need to recognize that cyber risk will differ by industry and that investors will react to violations of implicit industry standards for cyber risk management. The results also demonstrate the value to management credibility of having prior CyRM assurance after a cyber-breach; the reputation and damage control is important for both management and the company.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115537900","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Competition Between Infinitely Many Fund Managers and Investor's Welfare 无限多基金经理之间的竞争与投资者福利

DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2020-05-28 DOI: 10.2139/ssrn.3612933

Enrico Lupi

{"title":"Competition Between Infinitely Many Fund Managers and Investor's Welfare","authors":"Enrico Lupi","doi":"10.2139/ssrn.3612933","DOIUrl":"https://doi.org/10.2139/ssrn.3612933","url":null,"abstract":"This work analyzes the dynamic competition among an infinite number of managers acting in a financial market with a riskless bond and a risky asset. Each player competes against infinitely many competitors for receiving money flows that depend on her relative performances. We assume that each manager attempts to overperform the industry average performance. We find the closed formula for the optimal policy. We show that when all the agents are identical (homogenous case) the competition induced by the convex incentive affects both the risk aversion of the manager and her optimal policy. The change in the risk aversion and the shift in the risk taking behavior have opposite effects on manager's optimal policy. In the homogenous case the two effects perfectly offset and the optimal policy coincide with the usual Merton policy. We characterize the optimal solution of the problem also in the extended framework allowing for heterogenous groups of managers. In this case the two opposite forces acting on the manager's choice do not balance each other and there is room for the analysis of the change in the risk-taking optimal behavior of managers and in the whole industry as function of the parameters of the utility function of the managers as well as the relative weight of the groups in the population. We study the welfare loss of investors, who let their money being managed by managers, relating to the level of competition in the market.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127225738","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Managerial Market Timing: What Is the Pot Size for Long-Term Shareholders Assuming Firm Management Acts in Their Best Interest and Does Have an Informational Advantage? 管理市场时机:假设公司管理层以他们的最佳利益行事并具有信息优势，那么长期股东的投资规模是多少?

DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2020-04-22 DOI: 10.2139/ssrn.3753695

Jan Vogt

引用次数: 1

Dynamic Unravelling 动态解体

DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2020-03-05 DOI: 10.2139/ssrn.3496074

Joel P. Flynn

引用次数: 0