Similar Search Results

Frazzini, Andrea - 2010

We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints....

Persistent link: https://www.econbiz.de/10012462057

Dynamic Trading with Predictable Returns and Transaction Costs

Garleanu, Nicolae B. - 2009

We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the target and 2) trade partially towards the current...

Persistent link: https://www.econbiz.de/10012463444

Liquidity and Risk Management

Garleanu, Nicolae B. - 2007

market. On the other hand, risk managers can take into account that lower liquidity amplifies the effective risk of a …

Persistent link: https://www.econbiz.de/10012465769

Efficiently Inefficient Markets for Assets and Asset Management

Gârleanu, Nicolae B. - 2015

costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset … management market: if investors can find managers more easily, more money is allocated to active management, fees are lower, and … asset prices are more efficient. Informed managers outperform after fees, uninformed managers underperform after fees, and …

Persistent link: https://www.econbiz.de/10012457106

Embedded Leverage

Frazzini, Andrea - 2012

Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...

Persistent link: https://www.econbiz.de/10012460102