Andy C Y Lo

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  • Jan Jindra, Dong Lee, +17 authors ReneH M. Stulz
  • 1997
This paper examines the impact of foreign investors on stock returns in Korea from November 30, 1996 to the end of 1997 using order and trade data. We "nd strong evidence of positive feedback trading and herding by foreign investors before the period of Korea's economic crisis. During the crisis period, herding falls, and positive feedback trading by(More)
Many previous experiments have found that, consistent with myopic loss aversion, subjects invest more in risky assets if they anticipate receiving less frequent feedback about their returns, are shown their aggregated portfolio-level (rather than separate asset-by-asset) returns, or are shown long-horizon (rather than one-year) historical asset class return(More)
We can only estimate the distribution of stock returns, but from option prices we observe the distribution of state prices. State prices are the product of risk aversion – the pricing kernel – and the natural probability distribution. The Recovery Theorem enables us to separate these to determine the market's forecast of returns and risk aversion from state(More)
Pancreatic cancer is a lethal disease where specific early detection biomarkers would be very valuable to improve outcomes in patients. Many previous studies have compared biosamples from pancreatic cancer patients with healthy controls to find potential biomarkers. However, a range of related disease conditions can influence the performance of these(More)
For a long list of investment " biases, " e.g., home bias, loss aversion, and performance chasing, we find that genetic differences explain up to 45% of the variation across individual investors. The genetic factors that influence investment biases are also found to affect behaviors in other, non-investment, domains. This evidence is consistent with a view(More)
PURPOSE The present study aimed to determine whether there were physiological differences in the vocal fold vibration between nonfatigued and fatigued voices using high-speed laryngoscopic imaging and quantitative analysis. METHODS Twenty participants aged from 18 to 23 years (mean, 21.2 years; standard deviation, 1.3 years) with normal voice were(More)
What are the origins of individual savings behavior? Using data on identical and fraternal twins matched with data on their savings behavior, we find that an individual's savings propensity is governed by both genetic predispositions, social transmission from parents to their children, and gene-environment interplay where certain environments moderate(More)
This paper examines portfolios within the framework of a dynamic asset-pricing model when investors can trade equity assets as well as bonds of many different matu-rities. We specify the model so that investors have demand for both a risky and a safe income stream. We characterize the resulting optimal equilibrium stock and bond portfolios and document that(More)
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