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Mutual Funds and the Market for Liquidity

Massa, Massimo; Phalippou, Ludovic - C.E.P.R. Discussion Papers - 2004

We study how actively managed equity mutual funds select the liquidity level of their equity portfolio and the effects … of this selection on performance. We provide evidence of five key determinants of portfolio liquidity: portfolio size …, portfolio concentration, the manager’s trading frequency, investment style, and fee structure. We also show that liquidity is a …

Persistent link: https://www.econbiz.de/10005791221

Local Ownership as Private Information: Evidence on the Monitoring-Liquidity Trade-Off

Gaspar, José-Miguel; Massa, Massimo - C.E.P.R. Discussion Papers - 2004

This Paper investigates the impact of ownership patterns on the way the firm is monitored, on the liquidity of its … selection discount required by less informed investors to trade, reducing the firm’s liquidity. Both effects are properly … prices, but the lower liquidity induced by their presence tends to reduce prices. …

Persistent link: https://www.econbiz.de/10005497985

Relative Performance Evaluation Contracts and Asset Market Equilibrium

Kapur, Sandeep; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2003

We analyse the equilibrium consequences of performance-based contracts for fund managers. Managerial remuneration is tied to a fund's absolute performance and its performance relative to rival funds. Investors choose whether or not to delegate their investment to better-informed fund managers;...

Persistent link: https://www.econbiz.de/10005136451

Strategic Asset Allocation in Money Management

Basak, Suleyman; Makarov, Dmitry - C.E.P.R. Discussion Papers - 2011

Money managers behave strategically when competing for fund flows within relatively small groups. We study strategic interaction between two risk-averse managers in continuous time, characterizing analytically their unique equilibrium dynamic investments. Driven by chasing and contrarian...

Persistent link: https://www.econbiz.de/10009144728

Sovereign Default Risk and Banks in a Monetary Union

Uhlig, Harald - C.E.P.R. Discussion Papers - 2013

This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any...

Persistent link: https://www.econbiz.de/10011083498

A Macroeconomic Model of Endogenous Systemic Risk Taking

Martinez-Miera, David; Suarez, Javier - C.E.P.R. Discussion Papers - 2012

We analyze banks' systemic risk taking in a simple dynamic general equilibrium model. Banks collect funds from savers and make loans to firms. Banks are owned by risk-neutral bankers who provide the equity needed to comply with capital requirements. Bankers decide their (unobservable) exposure...

Persistent link: https://www.econbiz.de/10011084432

Delegated Activism and Disclosure

Dasgupta, Amil; Zachariadis, Konstantinos - C.E.P.R. Discussion Papers - 2011

Mutual funds are significant blockholders in many corporations. Concerns that funds vote in a pro-management manner to garner lucrative pensions contracts led the SEC to mandate the disclosure of proxy votes. We present a model of mutual fund voting in the presence of potential business ties. We...

Persistent link: https://www.econbiz.de/10009321841

On the High-Frequency Dynamics of Hedge Fund Risk Exposures

Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2011

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important...

Persistent link: https://www.econbiz.de/10009205059

Asset fire sales and purchases and the international transmission of financial shocks

Jotikasthira, Chotibhak; Lundblad, Christian T; … - C.E.P.R. Discussion Papers - 2009

We provide new evidence on the channels through which financial shocks are transmitted across international borders. Employing monthly data from 1996 to 2008 on over 1,000 developed country-domiciled mutual and hedge funds, we show that inflows and outflows experienced by these funds translate...

Persistent link: https://www.econbiz.de/10008458295

Evaluating Portfolio Performance with Stochastic Discount Factors

Dahlquist, Magnus; Söderlind, Paul - C.E.P.R. Discussion Papers - 1997

This paper provides evidence on the use of stochastic discount factors in the evaluation of portfolio performance. First, we discuss evaluation in this setting, and relate it to traditional mean-variance analysis. We then use Monte Carlo experiments to examine the small sample properties of...

Persistent link: https://www.econbiz.de/10005791557

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