8 research outputs found
Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior
- Author
- Alfarano S
- Arthur B W
- Barber B M Lee Y-T Liu Y-J Odean T S
- Bauer R Cosemans M Eichholtz P
- Bouchaud J-P
- Bouchaud J-P Farmer J D Lillo F
- Caldarelli G
- Challet D
- Dacorogna M M
- Damien Challet
- David Morton de Lachapelle
- Efron B
- Gondhi N R Mangla V Pochiraju B De S
- Mantegna R
- Raffaelli G
- Schwarzkopf Y Farmer J D
- Surowiecki J
- Thurner S Farmer J D Geanakoplos J
- Van de Venter G Michayluk D
- Yakovenko V M
- Publication venue
- 'IOP Publishing'
- Publication date
- 25/06/2010
- Field of study
Despite the availability of very detailed data on financial market,
agent-based modeling is hindered by the lack of information about real trader
behavior. This makes it impossible to validate agent-based models, which are
thus reverse-engineering attempts. This work is a contribution to the building
of a set of stylized facts about the traders themselves. Using the client
database of Swissquote Bank SA, the largest on-line Swiss broker, we find
empirical relationships between turnover, account values and the number of
assets in which a trader is invested. A theory based on simple mean-variance
portfolio optimization that crucially includes variable transaction costs is
able to reproduce faithfully the observed behaviors. We finally argue that our
results bring into light the collective ability of a population to construct a
mean-variance portfolio that takes into account the structure of transaction
costsComment: 26 pages, 9 figures, Fig. 8 fixe
Momentum Universe Shrinkage Effect in Price Momentum
- Author
- A Richards
- A W Lo
- B C Koh
- B M Barber
- C B Erb
- C Lee
- C S Asness
- C S Asness
- C S Asness
- D A Lesmond
- D Li
- E F Fama
- E Fama
- F Yu
- G G Schlarbaum
- G G Schlarbaum
- H Hong
- H Terence
- J Chae
- J Choi
- J Choi
- J Lewellen
- J Okunev
- Jaehyung Choi
- K Daniel
- K G Rouwenhorst
- K G Rouwenhorst
- K Ko
- L Boni
- M Chen
- M Grinblatt
- M Liu
- M M Carhart
- N Barberis
- N Jegadeesh
- P Samuelson
- S Hu
- S Kim
- S Rachev
- Sungsoo Choi
- T J George
- T J Moskowitz
- T J Moskowitz
- T Odean
- V Datar
- W F M De Bondt
- W Kim
- Wonseok Kang
- Y Amihud
- Y Amihud
- Y G Ahn
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2012
- Field of study
Trend Factor in China
- Author
- A W Lo
- A W Lo
- B D Grundy
- B Li
- B M Barber
- B M Barber
- B S Lee
- C J Neely
- D P Brown
- F Barillas
- F Barillas
- F Palomino
- G W Schwert
- Guofu Zhou
- H Hong
- J D Jobson
- J D Jobson
- J D Schwager
- J L Treynor
- J Liu
- J M Griffin
- J Shanken
- K Hou
- L Blume
- N Barberis
- N Cakici
- N Jegadeesh
- O Ledoit
- P Barroso
- R A Haugen
- R Bloomfield
- R F Stambaugh
- R G Sloan
- R K Narang
- R Wermers
- T Odean
- W Brock
- W F Sharpe
- W K Newey
- Y Amihud
- Y Han
- Y Shi
- Yang Liu
- Yingzi Zhu
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2019
- Field of study
Market Reaction to Second-Hand News: Attention Grabbing or Information Dissemination?
- Author
- A A Syed
- A Edmans
- A Felettigh
- A G Kerl
- A Krauss
- A Sarin
- Albert
- B Ajinkya
- B Liang
- B M Barber
- B M Barber
- D Palmon
- D W Wright
- E A Trahan
- E Boehmer
- E J Ferreira
- E J Ferreira
- E R Lid�n
- Engelberg Joseph
- Enrico Maria Cervellati
- F Fehle
- G E Metcalf
- G Murado?lu
- G N Pettengill
- H Desai
- H Desai
- H Kiymaz
- I Goldstein
- I Mathur
- J C Lee
- J Pound
- J Y Campbell
- M D Beneish
- M M Carhart
- M S Scholes
- M Seasholes
- O Palmon
- P G Savor
- P Liu
- P Liu
- P Lloyd-Davies
- Pierpaolo Pattitoni
- R A Pari
- R Sant
- R Shabani
- R T Wijmenga
- Riccardo Ferretti
- S Brown
- S Brown
- S W Pruitt
- T Odean
- V Coraggio
- W Greene
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2011
- Field of study
The V-Shaped Disposition Effect
- Author
- ***
- ***
- ***
- ***
- ***
- ***
- ***
- ***
- ***
- ***
- ***
- ***
- ***
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- *** -
- A Ang
- A Frazzini
- A Seru
- A Shleifer
- B Barber
- C Camerer
- C Heath
- C Lee
- D Genesove
- D Kahneman
- E Asparouhova
- E Fama
- E Fama
- E Weisbrod
- H Hong
- H Hong
- H Shefrin
- I Ben-David
- J Birru
- J Coval
- J E Ingersoll
- J Lakonishok
- J Meng
- J Sagi
- K Daniel
- K Daniel
- K Daniel
- L An
- L Feng
- L X Liu
- Li An
- M Carhart
- M Grinblatt
- M Grinblatt
- M Grinblatt
- M Seasholes
- M Weber
- N Barberis
- N Barberis
- N Jegadeesh
- N Jegadeesh
- P Locke
- R Bansal
- R Israel
- R Novy-Marx
- R Wermers
- Ret
- Ret?36
- Ret?36
- Ret?36
- Ret?36
- S Arif
- S Gervais
- S M Hartzmark
- T C Johnson
- T Chordia
- T Hens
- T Odean
- T Shumway
- W Choi
- W De Bondt
- W Goetzmann
- Y Li
- Z Da
- Z Shapira
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2013
- Field of study
On the Applicability of Maximum Likelihood Methods: From Experimental to Financial Data
- Author
- A B Berkelaar
- A B Berkelaar
- A C Cameron
- A De Palma
- A Frazzini
- A Frino
- A Kyle
- A M Poteshman
- A Oehler
- A S Booij
- A Saha
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- A Tversky
- A Tversky
- A W F Edwards
- B Barber
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- B D Mccullough
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- C Bath
- C Camerer
- C Ehm
- C F Baum
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- C M Hurvich
- C Munk
- C Orme
- C R Rao
- C R Rao
- C Wolf
- D A Belsley
- D A Hensher
- D Blake
- D Duffie
- D Genesove
- D Hong
- D Jordan
- D Kahneman
- D Kahneman
- D Kliger
- D L Mcleish
- D Mcfadden
- D Mcfadden
- D R Cox
- D W Blackburn
- D W Harless
- D W Hosmer
- D W Marquardt
- E Carbone
- E Carbone
- E Carbone
- E Degiorgi
- E Dimson
- E Dimson
- E Fama
- E L Lehmann
- E Lesaffre
- E R Berndt
- E Rich
- F Black
- F Wilcoxon
- G Becker
- G E P Box
- G Fechner
- G G Judge
- G Loomes
- G Loomes
- G Schlarbaum
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- G Schwarz
- G W Harrison
- G W Harrison
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- G Wu
- G Wu
- H A Latane
- H Akaike
- H Akaike
- H Akaike
- H Bleichrodt
- H Bozdogan
- H Cramer
- H Fennema
- H Fennema
- H Lee
- H Levy
- H Levy
- H M Markowitz
- H M Markowitz
- H Mann
- H P Stott
- H Shefrin
- H Shefrin
- H Zuchel
- I Currim
- I Friend
- J
- J C Cox
- J C Hershey
- J D Coval
- J D Hey
- J D Hey
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- J E Ingersoll
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- J Von Neumann
- J Y Campbell
- K A Clarke
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- K D Edwards
- K E Back
- K E Train
- K P Burnham
- L Guiso
- L Keele
- L L Thurstone
- L S Ornstein
- M Abdellaoui
- M Abdellaoui
- M Allais
- M Baker
- M Ben-Akiva
- M Brunnermeier
- M E Blume
- M E Yaari
- M E Yaari
- M Friedman
- M G Preston
- M Glaser
- M Glaser
- M Grinblatt
- M Grinblatt
- M Grinblatt
- M Grinblatt
- M Grinblatt
- M J Gordon
- M J Machina
- M Kaustia
- M Kaustia
- M Lehenkari
- M Levy
- M Levy
- M Mccord
- M Normandin
- M Rabin
- M Rabin
- M S Haigh
- M Vlcek
- M W Chui
- M Wang
- M Weber
- M Zhu
- M.-H Broihanne
- N C Barberis
- N C Barberis
- N C Barberis
- N C Barberis
- N C Barberis
- N C Barberis
- N C Barberis
- N C Barberis
- N G Mankiw
- N H Hakansson
- N H Hakansson
- N Mantel
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- N Sugiura
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- P B Andreassen
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- P C Fishburn
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- P P Wakker
- P P Wakker
- P P Wakker
- P P Wakker
- P P Wakker
- P P Wakker
- P R Locke
- P R Locke
- P Ruud
- P.-A Chiappori
- Q H Vuong
- R A Fisher
- R A Fisher
- R A Morin
- R Bruckner
- R C Merton
- R D Luce
- R Dhar
- R Dhar
- R Fletcher
- R Garvey
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- R H Thaler
- R H Thaler
- R J Rendleman
- R Kaniel
- R L Schaefer
- R Mehra
- R Mehra
- R S Johnson
- R S Johnson
- S
- S Benartzi
- S Blondel
- S Ebert
- S Ebert
- S Kirkpatrick
- S Kullback
- S Laury
- S Levitt
- S P Ferris
- S Rabe-Hersketh
- S S Lim
- S T
- S T
- S T Barberis
- S T Jakusch
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- T Amemiya
- T Amemiya
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- T B Fomby
- T Odean
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- T P Ballinger
- T Post
- U Gneezy
- U S Karmarkar
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- W Debondt
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- Y Liu
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- Z Eckstein
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- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2013
- Field of study
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- Sweeney R. J.
- Sweeney R. J.
- Swisher P.
- Taylor S. E.
- Tetlock P. C.
- Thaler R.
- Thaler R.
- Thaler R.
- Tice D.
- Trumble R. R.
- Tversky A.
- Tversky A.
- Tversky A.
- Tversky A.
- Tversky A.
- Valdez S.
- Varki S.
- Vergin R. C.
- Vespro C.
- Volkman D. A.
- Warther V. A.
- Watson J. J.
- Weber M.
- Webley P.
- Weidig T.
- Welch I.
- Wermers R.
- Williams L. V.
- Winnett A.
- Womack K.
- Woolridge J. R.
- Yook K. C.
- Young M. S.
- Yuen K. S. L.
- Zavgren C. V.
- Publication venue
- 'Informa UK Limited'
- Publication date
- Field of study
Finance (New Developments)
- Author
- A Ang
- A Brav
- A Hovakimian
- A Krishnamurthy
- A Madhavan
- A Melino
- A Sandroni
- A Shleifer
- AB Abel
- AR Admati
- AR Admati
- AS Auerbach
- AS Kyle
- AS Kyle
- AW Lo
- AW Lo
- AW Lo
- AW Lo
- B Biais
- B Dumas
- B Fischhoff
- B Grundy
- B Holmstrom
- B Tuckman
- BG Malkiel
- BM Barber
- BN Lehmann
- CA Hennessy
- CM Jones
- CMC Lee
- CP Jones
- CR Harvey
- D Duffie
- D Duffie
- D Duffie
- D Duffie
- D Duffie
- D Duffie
- D Ellsberg
- D Gale
- D Ikenberry
- D Kahneman
- D Lando
- D Romer
- D Vayanos
- D Vayanos
- DA Lesmond
- DH Ahn
- DJ Seppi
- DP Brown
- DP Kennedy
- DS Bates
- DS Bates
- DT Breeden
- DT Breeden
- DW Diamond
- E Boehmer
- EB Eckbo
- EF Fama
- EF Fama
- EF Fama
- EF Fama
- EF Fama
- EF Fama
- EF Fama
- EGJ Luttmer
- EM Miller
- EM Stein
- F Allen
- F Allen
- F Allen
- F Allen
- F Black
- F Black
- F Black
- F Modigliani
- F Modigliani
- FA Longstaff
- FA Longstaff
- FA Longstaff
- FD Foster
- FH Knight
- G Andrade
- G Bakshi
- G Connor
- G Courtadon
- G Gennotte
- G Llorente
- GL Clementi
- GM Constantinides
- GM Constantinides
- GM Constantinides
- GM Constantinides
- GM Constantinides
- GM Phillips
- H Bessembinder
- H He
- H He
- H Hong
- H Hong
- HE Leland
- HE Leland
- HE Leland
- HM Markowitz
- HR Stoll
- J Chen
- J Coval
- J Hasbrouck
- J Heaton
- J Huang
- J Hull
- J Hull
- J Lewellen
- J Lintner
- J Liu
- J Pan
- J Poterba
- J Shanken
- J Shanken
- J Shanken
- J Tobin
- J von Neumann
- J Wald
- J Wang
- J Wang
- J Wang
- J Zwiebel
- JA Chevalier
- JA Scheinkman
- JB Berk
- JB De Long
- JC Cox
- JC Cox
- JC Cox
- JC Cox
- JC Cox
- JC Cox
- JD Hamilton
- JF Gomes
- JJ McConnell
- JM Harrison
- JR Graham
- JY Campbell
- JY Campbell
- JY Campbell
- K Ellis
- K Jung
- K Yuan
- KB Diether
- KC Chan
- KD Daniel
- KD Daniel
- KI Amin
- KQ Wang
- KR French
- KR French
- L Kogan
- L Kogan
- L Lang
- L Pastor
- L Zingales
- LA Weiss
- LG Epstein
- LJ Savage
- LK Chan
- LO Scott
- LP Hansen
- LP Hansen
- LR Glosten
- LR Glosten
- LR Glosten
- LR Glosten
- M Allais
- M Bertrand
- M Gertler
- M Gibbons
- M Grinblatt
- M Grinblatt
- M Harris
- M Harris
- M Hellwig
- M Johannes
- M Lettau
- M Mitchell
- M O’Hara
- M Piazzesi
- M Rubinstein
- M Rubinstein
- MA Goldstein
- MB Garman
- MC Jensen
- MC Jensen
- MDD Evans
- MH Miller
- MJ Barclay
- MJ Brennan
- MJ Brennan
- MJ Ready
- MP Narayanan
- N Barberis
- N Barberis
- N Chen
- N Jegadeesh
- ND Weinstein
- O Hart
- O Vasicek
- OE Williamson
- OE Williamson
- OJ Blanchard
- P Aghion
- P Aghion
- P Asquith
- P Asquith
- P Milgrom
- P Santa-Clara
- P Weil
- PA Gompers
- PA Samuelson
- PH Dybvig
- PH Dybvig
- PM DeMarzo
- Q Dai
- R Ball
- R Bansal
- R Bansal
- R Chen
- R Jagannathan
- R Litterman
- R Mehra
- R Petkova
- R Rajan
- R Roll
- R Roll
- R Roll
- R Roll
- R Stanton
- R Stulz
- R Wilson
- RA Jarrow
- RA Taggart
- RC Merton
- RC Merton
- RC Merton
- RC Merton
- RC Merton
- RE Lucas Jr
- RF Stambaugh
- RH Coase
- RJ Shiller
- RK Lyons
- RL Goettler
- RM Townsend
- RS Goldstein
- RW Anderson
- RW Banz
- S Basak
- S Basu
- S Benartzi
- S Bikhchandani
- S Gervais
- S Gilchrist
- S Titman
- S Wahal
- SA Ross
- SA Ross
- SA Ross
- SA Ross
- SC Myers
- SC Myers
- SC Myers
- SF Gray
- SF LeRoy
- SJ Brown
- SJ Grossman
- SJ Grossman
- SJ Grossman
- SJ Grossman
- SJ Grossman
- SJ Grossman
- SJ Grossman
- SJ Grossman
- SJ Grossman
- SJ Grossman
- SJ Grossman
- SL Heston
- SM Fazzari
- SM Schaefer
- SM Sundaresan
- SN Kaplan
- SP Kothari
- T Chordia
- T Foucault
- T Hoshi
- T Odean
- TA Rietz
- TC Langetieg
- TE Copeland
- V Acharya
- V Maksimovic
- VL Bernard
- WF Sharpe
- WFM DeBondt
- WG Christie
- Y Ait-Sahalia
- Y Amihud
- Y Amihud
- Y Amihud
- YL Chan
- Z Fluck
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study