Lee M. Dunham

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This paper uses a long panel data set to investigate the empirical importance of background risks on a household’s asset allocation and on asset returns. We construct a set of household-level background risk variables which capture the entire covariance structure between financial assets and three types of non-traded or illiquid assets labor, housing, and(More)
Drinking after intragastric hypertonic solutions was examined to determine whether increased plasma osmolality always accompanied initiation of drinking. A 2-ml infusion through a gastric catheter was the beginning of tests in Sprague-Dawley male rats. Latency to drink was shorter and 1-h water intake was greater for increasing concentrations of NaCl (600,(More)
Early developmental exposure to caffeine in rats results in changes in brain excitability that persist to adulthood. The mechanism of these alterations is unknown. To identify potential neurotransmitter systems involved, we exposed neonatal rats to caffeine and determined seizure thresholds for chemoconvulsants active at different CNS receptors in the adult(More)
While many technical trading rules are based upon patterns in asset prices, we lack convincing explanations of how and why these patterns arise, and why trading rules based on technical analysis are profitable. This paper provides a model that explains the success of certain trading rules that are based on patterns in past prices. We point to the importance(More)
This paper explains the lack of long-term performance persistence of actively managed U.S. equity mutual funds in terms of two equilibrating mechanisms: fund flows and manager changes. We find that fund flows and manager changes independently affect the future performance of past outperforming (winner) funds, while the performance of past underperforming(More)
Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This study utilizes recent advances in econometric theory to decompose total asset price volatility into a smooth, continuous component and a discrete (jump) component. We analyze a data set that consists of high-frequency tick-by-tick data for(More)
We construct a set of household-level background risk variables to capture the covariance structure of three nonfinancial assets and two financial assets. These risks are in general statistically significant and economically important for a household’s stock market participation and stockholdings. A one-standard-deviation increase in background risks(More)
This paper presents a simple, intuitive investment strategy that improves upon the popular dollarcost-averaging (DCA) approach. The investment strategy, which we call enhanced dollar-costaveraging (EDCA), is a simple, rule-based strategy that retains most of the attributes of traditional DCA that are appealing to most investors but yet adjusts to new(More)
This paper uses a long panel data set to investigate the empirical importance of background risks on a household’s asset allocation and on asset returns. We construct a set of household-level background risk variables which capture the entire covariance structure between financial assets and three types of non-traded or illiquid assets labor, housing, and(More)
We develop a formal model of asset prices in which investors are subject to confirmation bias, which describes the tendency of individuals to search for and interpret information selectively to conform to a given set of beliefs. The model produces three notable results. First, the model generates price patterns which validate certain well-documented trading(More)