Discrete expectational data and portfolio performance
Article Abstract:
A five-point buy, hold or sell scale is used to analyze investment decision-making procedures and the data on which investment analysts base their decisions. The data sample for this research contains information from 10,000 forecasts per month, which should minimize the amount of selection bias and survivorship bias inherent in the study. Brokerage firm stock recommendations, upon assessment, could be used by investors to improve returns on investment by 4.5 percent; the key is to purchase new buys, rather than new sells recommended by the brokerage firms. In a discussion of the research paper by Dennis E. Logue, following its presentation, certain questions evoked by the research are discussed, including: is there a group of brokers that provides the best advice ?, what is the effect of broker disagreement on stock prices ?, and how much are brokers coerced by others' decisions?
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1986
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On timing and selectivity
Article Abstract:
The timing of investment decisions and the selection of assets in which to invest are two factors frequently discussed when analyzing investment performance; however, several conceptual and econometric problems surround the proper definition and identification of either of these factors. Two models are developed to solve some of these definitional problems: the portfolio approach model, and the factor approach model. These models clarify the processes behind identifying timing and selectivity factors affecting investment decisions. For example, a relatively simple quadratic equation may be used to measure the effects of timing factors in given investment decisions.In a discussion by Robert E. Verrecchia of the research paper presented, the encouraging and discouraging aspects of being able to identify timing factors are briefly debated.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1986
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Tax clienteles and asset pricing
Article Abstract:
Taxation of returns on investments in assets affects tax clienteles in one of three ways: (1) clientele quantity effects, (2) clientele effects in both quantity and price, or (3) no clientele effect. The type of effect is determined by the agent's or agents' marginal position(s) with respect to the assets invested in. These effects and the conditions in which they become noticeable are analyzed. By extending the analysis of tax effects, tax clients and asset prices, distinct tax brackets can be associated with identifiable tax rates on investment items such as net capital gains (or losses). The discussion of the research paper, by Joseph Williams, examines the methodology and identifies further research topics suggested by this provocative analysis.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1986
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