Journal ArticleDOI
The dark side of financial innovation: A case study of the pricing of a retail financial product
TLDR
This paper found that the offering prices of 64 issues of a popular retail structured equity product were, on average, almost 8% greater than estimates of the products' fair market values obtained using option pricing methods.About:
This article is published in Journal of Financial Economics.The article was published on 2011-05-01. It has received 308 citations till now. The article focuses on the topics: Rational pricing & Investment theory.read more
Citations
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Neglected Risks, Financial Innovation, and Financial Fragility
TL;DR: In this article, the authors present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions: first, investors neglect certain unlikely risks.
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Financial Innovation and Endogenous Growth
TL;DR: In this paper, the authors model technological and financial innovation as reflecting the decisions of profit maximizing agents and explore the implications for economic growth, and they start with a Schumpeterian endogenous growth model where entrepreneurs earn monopoly profits by inventing better goods and financiers arise to screen entrepreneurs.
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New Evidence on the Financialization of Commodity Markets
TL;DR: The authors examined the impact of investor flows into and out of commodity-linked notes (CLNs) on commodity futures prices and found that non-information based financial investments have important impacts on commodity prices.
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Financial innovation and endogenous growth
TL;DR: In this paper, the authors build a Schumpeterian model in which entrepreneurs earn profits by inventing better goods and profit-maximizing financiers arise to screen entrepreneurs.
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New Evidence on the Financialization of Commodity Markets
TL;DR: The authors examined the impact of investor flows into and out of commodity-linked notes (CLNs) on commodity futures prices and found that non-information-based financial investments have important impacts on commodity prices.
References
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Journal ArticleDOI
The Cross‐Section of Expected Stock Returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, Bhandari et al. found that the relationship between market/3 and average return is flat, even when 3 is the only explanatory variable, and when the tests allow for variation in 3 that is unrelated to size.
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THE EQUITY PREMIUM A Puzzle
Rajnish Mehra,Edward C. Prescott +1 more
TL;DR: This paper showed that an equilibrium model which is not an Arrow-Debreu economy will be the one that simultaneously rationalizes both historically observed large average equity return and the small average risk-free return.
Journal ArticleDOI
Maps of Bounded Rationality: Psychology for Behavioral Economics
TL;DR: Kahneman as mentioned in this paper made a statement based on worked out together with Shane Federik the quirkiness of human judgment, which was later used in his speech at the Nobel Prize in economics.
Journal ArticleDOI
Investor Psychology and Security Market Under- and Overreactions
TL;DR: The authors proposed a theory of securities market under- and overreactions based on two well-known psychological biases: investor overconfidence about the precision of private information; and biased self-attribution, which causes asymmetric shifts in investors' confidence as a function of their investment outcomes.
Posted Content
Presentation Slides for 'Investor Psychology and Security Market Under and Overreactions'
Kent Daniel,Kent Daniel,David Hirshleifer,David Hirshleifer,Avanidhar Subrahmanyam,Avanidhar Subrahmanyam +5 more
TL;DR: This paper proposed a theory of securities market under- and overreactions based on two well-known psychological biases: investor overconfidence about the precision of private information; and biased self-attribution, which causes asymmetric shifts in investors' confidence as a function of their investment outcomes.