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Senior Fellows/Fellows

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Senior Fellows/Fellows

Real Estate Shocks and Financial Advisor Misconduct

Stephen G. DIMMOCK, William C. GERKEN, Tyson D. VAN ALFEN
We test whether household wealth shocks affect professional misconduct by financial advisors. We use a panel of advisors’ home addresses and examine within-advisor variation relative to other advisors who work at the same firm and live in the same ZIP code. We show that advisors increase miscon...
Keywords: Financial advisors, Brokers, Financial misconduct, Fraud, Household finance, Real estate, bankruptcy
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

Stephen G. DIMMOCK, Roy KOUWENBERG, Olivia S. MITCHELL, Kim PEIJNENBURG
We test the relation between probability weighting and household portfolio choice in a representative household survey, using custom-designed incentivized lotteries. On average, people display Inverse-S shaped probability weighting, overweighting the small probabilities of tail events. As theory pre...
Keywords: Household Finance, portfolio underdiversification, probability weighting, rank dependent utility, cumulative prospect theory, salience theory, household portfolio puzzles, stock market participation
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Senior Fellows/Fellows

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Senior Fellows/Fellows

The Endowment Model and Modern Portfolio Theory

Stephen G. DIMMOCK, Neng WANG, Jinqiang YANG
We develop a dynamic portfolio-choice model with illiquid alternative assets to analyze conditions under which the “Endowment Model,” used by some large institutional investors such as university endowments, does or does not work. The alternative asset has a lock-up, but can be voluntarily liqui...
Keywords: endowment model, portfolio choice, liquidity, modern portfolio theory, asset allocation, alternative assets
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Annual Conference

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Corporate Finance

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May 2015

Capital Gains Lock-In and Governance Choices

Stephen G. DIMMOCK, William C. GERKEN, Scott J. WEISBENNER, Zoran IVKOVIC
Differences in accrued gains and investors’ tax-sensitivity induce variation in a capital gains lock-in effect across mutual funds even for the same stock at the same time. Exploiting this variation, we show this effect influences funds’ governance decisions: higher capital gains decrease the li...
Keywords: Mutual fund, Proxy voting, Corporate governance, Capital-gains tax, Lock-in effect
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