Search Results - "Shumway, Tyler"

Learning by Trading by Seru, Amit, Shumway, Tyler, Stoffman, Noah

“…Using a large sample of individual investor records over a nine-year period, we analyze survival rates, the disposition effect, and trading performance at the…”
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Forecasting Default with the Merton Distance to Default Model by Bharath, Sreedhar T., Shumway, Tyler

“…We examine the accuracy and contribution of the Merton distance to default (DD) model, which is based on Merton's (1974) bond pricing model. We compare the…”
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Good Day Sunshine: Stock Returns and the Weather by Hirshleifer, David, Shumway, Tyler

“…Psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood. This paper examines the relationship between morning…”
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Peer effects in risk aversion and trust by Ahern, Kenneth R, Duchin, Ran, Shumway, Tyler Graham

“…Existing evidence shows that risk aversion and trust are largely determined by environmental factors. We test whether one such factor is peer influence. Using…”
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Do Behavioral Biases Affect Prices? by COVAL, JOSHUA D., SHUMWAY, TYLER

“…This paper documents strong evidence for behavioral biases among Chicago Board of Trade proprietary traders and investigates the effect these biases have on…”
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Forecasting Bankruptcy More Accurately: A Simple Hazard Model by Shumway, Tyler

“…I argue that hazard models are more appropriate than single‐period models for forecasting bankruptcy. Single‐period models are inconsistent, while hazard…”
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Expected Option Returns by Coval, Joshua D., Shumway, Tyler

“…This paper examines expected option returns in the context of mainstream asset-pricing theory. Under mild assumptions, expected call returns exceed those of…”
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The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect by Shumway, Tyler, Warther, Vincent A.

“…We investigate the bias in CRSP's Nasdaq data due to missing returns for delisted stocks. We find that the missing returns are large and negative on average,…”
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Is Sound Just Noise? by Coval, Joshua D., Shumway, Tyler

“…We analyze the information content of the ambient noise level in the Chicago Board of Trade's 30-year Treasury Bond futures trading pit. Controlling for a…”
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Pricing Kernel Monotonicity and Conditional Information by Linn, Matthew, Shive, Sophie, Shumway, Tyler

“…A large literature finds evidence that pricing kernels nonparametrically estimated from option prices and historical returns are not monotonically decreasing…”
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The Delisting Bias in CRSP Data by SHUMWAY, TYLER

“…I document a delisting bias in the stock return data base maintained by the Center for Research in Security Prices (CRSP). I find that delist for bankruptcy…”
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Portfolio rebalancing in general equilibrium by Kimball, Miles S., Shapiro, Matthew D., Shumway, Tyler, Zhang, Jing

“…This paper develops an overlapping generations model of optimal rebalancing where agents differ in age and risk tolerance. Equilibrium rebalancing is driven by…”
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Are Monthly Market Returns Predictable? by Keppo, Jussi, Shumway, Tyler, Weagley, Daniel

“…We document significant persistence in the market timing performance of active individual investors, suggesting that some investors are skilled at timing…”
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Editorial Statement—Finance

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Can Individual Investors Beat the Market? by Coval, Joshua D, Hirshleifer, David, Shumway, Tyler

“…We document persistent superior trading performance among a subset of individual investors. Investors classified in the top performance decile in the first…”
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The premium for default risk in stock returns by Shumway, Tyler Graham

“…This dissertation investigates the hypothesis that firm size, past returns, and book-to-market equity predict stock returns because of a premium for default…”
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