Posts Tagged ‘inversores

14
Nov
10

Frase del Día: Portfolio a la medida

“One of the biggest disservices at investor can do to their portfolio is to act on a timeframe that is not consistent with their objectives.”

(Fuente: Mabane Faber)

05
Nov
10

Frase del Día: Cuando todo sube…

Lesson #1: Investors don’t mind a correlation of one across asset classes when everything goes up.”

(Fuente: EconomicPic)

14
Jul
10

Paper: Cash y Retornos del Portfolio

Cash Position Forecasts and Stock Market Portfolio Returns

Abstract:
Several articles in highly regarded news outlets over the last decade have argued that firms holding relatively more cash are favored by investors. The contention is those firms holding cash will have better access to good investment prospects. This view contradicts the Jensen (1986) free cash flow proposition. This study examines the investment returns of portfolios created according to trading strategies based on expected “good” news versus “bad” news predictions of cash holdings. Results indicate that firms holding more cash than expected have superior investment returns.

Link al Paper

29
Jun
10

¿inversor o trader de moneda?

Adam Kritzer, en un post en Forex Blog, plantea muy bien los diferentes horizontes temporales que manejan los inversores y los traders (en este caso de moneda), haciendo foco en el Euro.

(…)

But seriously, currency traders must adapt to the zero-sum nature of forex markets by shortening their time horizon. Stock market investors, on the other hand, are not bound by this constraint. In fact, by holding stocks for a long enough time period, investors can actually turn this into an advantage.

(…)

Simply, currencies fluctuate. Since its introduction 10 years ago, the Euro has fallen, then risen, then fallen, then risen, then fallen again to its current level. If you initially invested in Europe 2 years ago, the exchange rate would erode your returns if you tried to sell now. If you invested 5 years ago, you would break even. If you invested 10 years ago, you would come out ahead. In the end, it’s only a question of perspective. Still, if you maintain your positions for long enough, either you will break-even from the exchange rate or it will only marginally affect your returns (on an annualized basis).

(…)

In short, unless you deliberately want to speculate on exchange rates, don’t worry about them! If your investing horizon is long enough, their fluctuations will neither help nor hurt you in a meaningful way.

29
Jun
10

Paper: analizando a los inversores

Behavioral Portfolio Analysis of Individual Investors

Abstract:
Existing studies on individual investors’ decision-making often rely on observable socio-demographic variables to proxy for underlying psychological processes that drive investment choices. Doing so implicitly ignores the latent heterogeneity amongst investors in terms of their preferences and beliefs that form the underlying drivers of their behavior. To gain a better understanding of the relations among individual investors’ decision-making, the processes leading to these decisions, and investment performance, this paper analyzes how systematic differences in investors’ investment objectives and strategies impact the portfolios they select and the returns they earn. Based on recent findings from behavioral finance we develop hypotheses which are tested using a combination of transaction and survey data involving a large sample of online brokerage clients. In line with our expectations, we find that investors driven by objectives related to speculation have higher aspirations and turnover, take more risk, judge themselves to be more advanced, and underperform relative to investors driven by the need to build a financial buffer or save for retirement. Somewhat to our surprise, we find that investors who rely on fundamental analysis have higher aspirations and turnover, take more risks, are more overconfident, and outperform investors who rely on technical analysis. Our findings provide support for the behavioral approach to portfolio theory and shed new light on the traditional approach to portfolio theory.

Link al Paper

26
Jun
10

Paper: Noticias y Expectativas

Does Bad Economic News Play a Greater Role in Shaping Investors’ Expectations than Good

Abstract:
Using consistency in monthly returns as a proxy for good and bad news, I show that investors overreact to a series of favorable and unfavorable news. However, bad news plays a greater role in shaping investors’ expectations than good news. Consistent losers exhibit stronger price momentum in Year 1 followed by a more pronounced and persistent price reversal in Years 2 through 5 relative to their consistent winner counterparts. This evidence is robust to the three-factor Fama-French model and momentum factor. Results reported in this study provide general support to the psychology-based theories, but none of the existing models fully captures the weighting differential that negative and positive information signals play in shaping investors’ expectations.

Link al Paper

19
Jun
10

Paper: timing para operar

Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open

Abstract:
Using 13 years of intraday data for U.S. stocks, we find a strong tendency for positive returns during the overnight period followed by reversals during the trading day. This behavior is driven by an opening price that is high relative to intraday prices. We find this temporary price inflation at the open is concentrated among stocks that have recently attracted the attention of retail investors, and these high attention stocks have high levels of net retail buying at the start of the trading day. In addition, we document that the sensitivity of opening prices to retail investor attention is more pronounced for stocks that are difficult to value and costly to arbitrage, and is greater during periods of high retail investor sentiment. The additional implicit transaction costs for retail traders who buy high attention stocks near the open frequently exceed the effective half spread.

Link al Paper




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