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We model how investors allocate between asset managers, managers choose their portfolios of multiple securities, fees are set, and security prices are determined. The optimal passive portfolio is linked to the “expected market portfolio,” while the optimal active portfolio has elements of...
Persistent link: https://www.econbiz.de/10012851298
We analyze foreigners' and domestic institutional investors' positions in U.S. equities. Controlling for many factors, we uncover a common preference for large firms and firms that are diversified internationally. The domestic preference for internationally diversified firms implies that...
Persistent link: https://www.econbiz.de/10010295674
We analyze foreigners’ and domestic institutional investors’ positions in U.S. equities. Controlling for many factors, we uncover a common preference for large firms and firms that are diversified internationally. The domestic preference for internationally diversified firms implies that...
Persistent link: https://www.econbiz.de/10002682142
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"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...
Persistent link: https://www.econbiz.de/10009558371
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, conditional performance tests provide no evidence that the superior (unconditional) performance owed to private information …, suggesting that the successful exploitation of publicly available information played a role. Third, well-documented preferences … unconditional performance of bond portfolios, about which less information is available, and find that U.S. investors achieved …
Persistent link: https://www.econbiz.de/10002225951
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