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Indirect Incentives of Hedge Fund Managers

Lim, Jongha - 2013

managers. Flows respond quickly and strongly to performance; lagged performance has a monotonically decreasing impact on flows … times as large as direct incentives from incentive fees and returns to managers' own investment in the fund. For new funds … generated for their investors in a given year, managers receive close to another dollar in direct performance fees plus the …

Persistent link: https://www.econbiz.de/10012459758

Measuring Institutional Investors’ Skill from Their Investments in Private Equity

Cavagnaro, Daniel R. - 2016

Using a large sample of institutional investors' private equity investments in venture and buyout funds, we estimate the extent to which investors' skill affects returns from private equity investments. We first consider whether investors have differential skill by comparing the distribution of...

Persistent link: https://www.econbiz.de/10012456132

Understanding Corporate Governance Through Learning Models of Managerial Competence

Hermalin, Benjamin E. - 2014

A manager's shareholders, board of directors, and potential future employers are continually assessing his ability. A rich literature has documented that this insight has profound implications for corporate governance because assessment generates incentives (good and bad), introduces assorted...

Persistent link: https://www.econbiz.de/10012458636

Learning about CEO Ability and Stock Return Volatility

Pan, Yihui - 2013

When there is uncertainty about a CEO's quality, news about the firm causes rational investors to update their expectation of the firm's profitability for two reasons: Updates occur because of the direct effect of the news, and also because the news can cause an updated assessment of the CEO's...

Persistent link: https://www.econbiz.de/10012459779

Why are Buyouts Levered : The Financial Structure of Private Equity Funds

Axelson, Ulf - 2007

This paper presents a model of the financial structure of private equity firms. In the model, the general partner of the firm encounters a sequence of deals over time where the exact quality of each deal cannot be credibly communicated to investors. We show that the optimal financing arrangement...

Persistent link: https://www.econbiz.de/10012465831

Explaining the Cross-Section of Stock Returns in Japan : Factors or Characteristics?

Daniel, Kent - 1999

Japanese stock returns are even more closely related to their book-to-market ratios than are their U.S. counterparts, and thus provide a good setting for testing whether the return premia associated with these characteristics arise because the characteristics are proxies for covariance with...

Persistent link: https://www.econbiz.de/10012471544

The Dynamics of Emerging Market Equity Flows

Bekaert, Geert - 1999

We study the interrelationship between capital flows, returns, dividend yields and world interest rates in 20 emerging markets. We estimate a vector autoregressionn with these variables to measure the degree to which lower interest rates contribute to increased capital flows and shocks in flows...

Persistent link: https://www.econbiz.de/10012471570

Profitability of Momentum Strategies : An Evaluation of Alternative Explanations

Jegadeesh, Narasimhan - 1999

This paper evaluates various explanations for the profitability of momentum strategies documented in Jegadeesh and Titman (1993). The evidence indicates that momentum profits have continued in the 1990's suggesting that the original results were not a product of data snooping bias. The paper...

Persistent link: https://www.econbiz.de/10012471628

Good Carry, Bad Carry

Bekaert, Geert - 2019

We distinguish between "good" and "bad" carry trades constructed from G-10 currencies. The good trades exhibit higher Sharpe ratios and sometimes positive return skewness, in contrast to the bad trades that have both substantially lower Sharpe ratios and highly negative return skewness....

Persistent link: https://www.econbiz.de/10012479376

A Dynamic Model of Characteristic-Based Return Predictability

Alti, Aydoğan - 2019

We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of...

Persistent link: https://www.econbiz.de/10012479727