Annual Conference

|

Investment Finance

|

May 2018

The Promises and Pitfalls of Robo-advising

Nagpurnanand PRABHALA, Francesco DACUNTO, Alberto G. ROSSI
We study a robo-advising portfolio optimizer that constructs tailored strategies based on investors' holdings and preferences. Adopters are similar to non-adopters in terms of demographics, but have more assets under management, trade more, and have higher risk-adjusted performance. The robo-advisin...
Keywords: FinTech, portfolio choice, Behavioral finance, Individual Investors, Financial Literacy, Technology Adoption
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance

|

May 2018

Are Disagreements Agreeable? Evidence from Information Aggregation

Dashan HUANG, Jiangyuan LI, Liyao WANG, Guofu ZHOU
Most studies on disagreement focus on cross-sectional asset returns and the well-recognized disagreement measures generally cannot predict the stock market with a horizon less than 12 months. This paper proposes three aggregate disagreement indexes by aggregating information across 20 disagreement m...
Keywords: Disagreement, Market risk premium, Predictability, Information aggregation, PLS
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2018

Hacking Reverse Mortgages

Deborah LUCAS
Reverse mortgages allow retirees to access a portion of their home equity to meet spending needs while insuring that they can age in place. In the U.S., almost all reverse mortgages are in the form of a Home Equity Conversion Mortgage (HECM)--a product designed and administered by the federal govern...
Keywords: Reverse mortgage, government credit programs
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance

|

May 2018

Insurers as Asset Managers and Systemic Risk

Andrew ELLUL, Chotibhak JOTIKASTHIRA, Anastasia KARTASHEVA, Christian T. LUNDBLAD, Wolf WAGNER
Financial intermediaries often provide guarantees resembling out-of-the-money put options, exposing them to undiversifiable tail risk. We present a model in the context of the U.S. life insurance industry in which the regulatory framework incentivizes value-maximizing insurers to hedge variable annu...
Keywords: Financial stability, Asset similarity, fire sales, Insurance companies
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2018

The Green Geography: Corporate Environmental Policies and Local Institutional Investors

Johan SULAEMAN, Abhishek VARMA
Corporate environmental concerns (i.e., weaknesses) are spatially clustered, unlike environmental strengths. Firms headquartered in cities friendlier towards the environment (“green” cities) are less likely to have environmental concerns. Manufacturing facilities operated by such firms pose lowe...
Keywords: Environmental issues, environmental performance, toxic substances, corporate environmental policies, local bias
  • View
  • Download
  • Bookmark
  •    |