Create your own awesome maps

Even on the go

with our free apps for iPhone, iPad and Android

Get Started

Already have an account?
Log In

Investment Research by Mind Map: Investment Research
5.0 stars - 1 reviews range from 0 to 5

Investment Research

Feedback Frequency

And Risk Taking

Lab Experiments, Greater evaluation and decision frequency leads to greater risk aversion. (Gneezy & Potters 1997), Effect is explainable solely by feedback frequency. (Bellemare, Krause et al 2005), Effect is generated mostly by decision frequency. (Weber & Langer 2008), Effect is about the same (Fellner Sutter 2009), Longer evaluation period leads to greater risk taking. Shifting the return distribution upwards to remove losses also increases risk-taking. More frequent feedback took the least risk and earned the least money. (Thaler, Tversky, Kahneman and Schwartz 1997), Subjects didn't know distributions., More information and more flexibility (to trade) result in less risk taking. (Gneezy, Kapteyn & Potters 2003), Less frequent feedback and longer horizons leads to greater risk-taking, but people prefer more information and shorter horizons. (Fellner & Sutter 2009), Workers invest more of their retirement savings in stocks if they are shown long-term (rather than one-year) rates of return. (Benartzi & Thaler 1999), In operations management tasks, more frequent feedback can be damaging (Lurie & Swaminathan 2008), Haigh List 2005

Field Experiments

And Impact on Asset Pricing

Shifting small-cap Israeli stocks between daily and weekly trading impacts subsequent returns. (Kliger & Levit 2009)

And Equity Premium

To review (Barberis Huang Santos 2001)

Annual portfolio evaluation explains observed equity premium. (Benartzi & Thaler 1995)

More-frequent evaluation yields additional opportunites for perverse disposition-effect-driven action, increasing equity premium. (Roger 2009)

And Trading Activity

Individuals who trade more often perform worse. (Odean 2000), Supported by Anderson 2007. Individuals underperform by 8.5% p.a. on average.

Generally

Kluger Denisi 1996

Kluger DeNisi 1998

Investor Behavior

Factors Impacting Risk Preferences

Biological, Field Studies, 2D:4D finger ratio correlates with trading success (Coates, Gurnell, Rustichini 2009), Endogenous steroids correlate with profitability. (Coates and Herbert 2008), Lab Studies, Testosterone levels correlate with risk-taking; 2D:4D does not. (Apicella, Dreber, Campbell et al 2008), Gender, Men trade more often, sell more readily in 2008-2009 downturn (Ameriks et al 2009 Vanguard)

Emotions, Sadness leads to reverse-endowment effect. Disgust leads to lower selling prices. (Lerner Small 2004), Confident sensation-seekers trade more frequently (Grinblatt Keloharju 2009), Emotion-deficient subjects make better investors (Shiv, Lowenstein, Damasio et al 2005)

Generational, Generational market experiences shape investor behavior (Malmendier et al 2009 NBER 14813), Younger fund managers chased internet stocks more. (Greenwood & Nagel 2009)

Presentation, Risk presentation can stabilize risk preferences. 2009, Run Length (diff btwn trend and endpoint) impacts risk preferences. (Raghubir Das 2009)

Simplicity Seeking, More funds in 401k leads to lower risk and lower participation (Iyengar Kamenica 2008)

Minor Factors, Touch can "re-set" risk preferences after priming feelings of uncertainty. (Levav forthcoming), National sports outcomes impact stock performance (Edmans et al 2007)

Difficulty of Teaching

Conflict disclosure doesn't help, can hurt (Cain, Loewenstein, Moore 2005)

Wharton MBAs, other smart people don't understand index fund fees. (Choi, Liabson, Madrian)

Seru, Shumway and Stoffman 2009

Ways to Improve

Save More Tomorrow (Benartzi & Thaler 2004)

Lifecycle funds prevent observation of each sub-fund's volatility (Zweig p225)

Stickk.com - Contract with yourself for future behavior.

Return Chasing

Mutual Fund Investors, Unsophisticated retail money appears to enter mutual funds in good times (Glode et al 2009, NBER 15038), Investors in mutual funds buy high, sell low (Morningstar & Lipper, Nesbitt 1995), Mutual fund investors chase returns, 1991-2004; lose by 1.6% p.a. (Friesen & Sapp 2007), Investors underestimate impact of selection bias in advertised mutual funds (Koehler & Mercer 2009)

Plan Sponsors chase performance in manager hirings (Goyal & Wahal 2008)

Swiss pension plans pursue active mgmt despite underperformance. (Gort 2009)

Younger mutual fund managers chased internet stocks more.

Grinblatt Keloharju 2001

Brunnermeier and Nagel 2004

Cooper, Gutierrez and Hameed 2004

People detect "streaks" in random sequences (hot hand in basketball) (Vallone & Tversky 1985), Also seen in Hogarth & Makridakis 1981.

Surveys

Average investor underperforms market, panics, acts pro-cyclically (Dalbar Corp. 2009)

Psychology & Economics: Evidence from the Field (DellaVigna 2009)

Mental Accounting

Favors selling winners and holding losers (Thaler 1999 cites Shefrin & Statman 1987, Odean 1998)

Investors sell winners more than losers, but winners do better. (Odean 1998)

Neuroeconomics

Process saved papers in folder

Evolutionary Perspective

Evolutionary Perspective on Behavioral Bias (Haselton et al 2009)

Depletion

Strength Model of Self-Control Baumeister et al 2007

Ego Depletion and Self-Regulation Baumeister 2003

Cycles & Cyclical Behavior

Thoughts on Central Banks response to asset price volatility. Bernanke

History

LT history of cycles and depressions; explains equity premium. Barro et al 2009; NBER

Pro-Cyclical Forces

Career Risk, In a stylized model, career concerns amplify pricing shocks. (Guerrieri et al 2009, NBER 14898)

Liquidity, Confidence, liquidity and haircuts on repo securities. Gorton & Metrick 2009

Herding & Sentiment, Rushing for the exit - overview and impacts considered. Pedersen 2009 NBER 15297, Analyst predictions are procyclical and reflect investor sentiment. (Qiang 2009), Asset pricing models must consider risk premium as high, time-varying and correlated with state of economy. (Campbell 1998, NBER 6485), Bubbles form endogenously in a lab experiment. (Hommes et al 2007), Investor sentiment is a contrary indicator (Baker et al 2009)

Yield curve and biz cycle

JDM Misc

Selective survey of evidence on persuasion senders and receivers DellaVigna 2009 NBER 15298

People model neighbors' car-buying behavior (Grinblatt 2009)

Inefficiencies

40 Years of Value Investing: Seminal Articles (2006)

Mutual fund managers can beat market in their best ideas (Cohen Polk Silli 2008)

Mutual fund manager can beat market in their best ideas. (Pomorski 2009)

Efficient Market Hypothesis & its Critics - hard to beat market - Malkiel 2003

Contrary to EMH, form of earnings disclosures matter to professional analysts (Hirst Hopkins 1998)

Investor Sentiment and the Closed End Fund Puzzle (Shleifer Thaler Lee 1991)

To File

Malkiel 2007 bad hedge funds exit indices

Diction

Investor reaction to tone in earnings releases. Henry, Elaine 2008.

Behavioral Biases and Investment Massa 2005

Alon Brav

Dan Goldstein

Investment Management

13-F and confidential treatment for holdings (Agarwal et al 2009 unpub)

SPACs

Blank Check IPOs: A Home Run for Management (Jog & Sun 2007)

Mgmt rigs votes by buying shares; mkt predicts acq success (Jenkinson Sousa 2007)

Discounts

On closed-end funds

Overviews

SPACs as an asset class

Overview, case studies

Another overview

Shell Games Floros Sapp 2009