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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

Scale and Skill in Active Management

Pastor, Lubos - 2014

We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of decreasing returns at the industry level: As the size of the active mutual fund industry increases, a fund's ability to outperform passive benchmarks declines. At the fund level,...

Persistent link: https://www.econbiz.de/10012458773

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

Income Inequality and Asset Prices under Redistributive Taxation

Pastor, Lubos - 2015

Our simple model features agents heterogeneous in skill and risk aversion, incomplete financial markets, and redistributive taxation. In equilibrium, agents become entrepreneurs if their skill is sufficiently high or risk aversion sufficiently low. Under heavier taxation, entrepreneurs are more...

Persistent link: https://www.econbiz.de/10012457001

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

Asset Pricing Models : Implications for Expected Returns and Portfolio Selection

MacKinlay, A. Craig - 1999

Implications of factor-based asset pricing models for estimation of expected returns and for portfolio selection are investigated. In the presence of model mispricing due to a missing risk factor, the mispricing and the residual covariance matrix are linked together. Imposing a strong form of...

Persistent link: https://www.econbiz.de/10012471625

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