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Asset Management Contracts and Equilibrium Prices

Buffa, Andrea; Vayanos, Dimitri; Woolley, Paul - C.E.P.R. Discussion Papers - 2014

We study the joint determination of fund managers' contracts and equilibrium asset prices. Because of agency frictions, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes managers unwilling to deviate from the index and...

Persistent link: https://www.econbiz.de/10011084367

Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant … walk, in favour of stochastic convergence towards CAPM and Arrow-Debreu equilibrium. …

Persistent link: https://www.econbiz.de/10005662411

Time-Varying Market Integration and Expected Returns in Emerging Markets

de Jong, Frank; de Roon, Frans - C.E.P.R. Discussion Papers - 2001

We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market. The level of integration is a time-varying variable that depends on the market...

Persistent link: https://www.econbiz.de/10005123688

Limits of Arbitrage: The State of the Theory

Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2010

We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings and providing liquidity to other investors. Research in this area is currently evolving into a broader...

Persistent link: https://www.econbiz.de/10008530340

The effects of global shocks on small commodity-exporting economies: New evidence from Canada

Charnavoki, Valery; Dolado, Juan J. - C.E.P.R. Discussion Papers - 2012

This paper presents a structural dynamic factor model of a small commodity-exporting economy using Canada as a representative case study. Combining large panel data sets of the global and Canadian economies, we first identify those demand and supply shocks that explain most of the volatility in...

Persistent link: https://www.econbiz.de/10011084371

Can we use seasonally adjusted indicators in dynamic factor models?

Camacho, Maximo; Lovcha, Yuliya; Pérez-Quirós, Gabriel - C.E.P.R. Discussion Papers - 2012

We examine the short-term performance of two alternative approaches of forecasting from dynamic factor models. The first approach extracts the seasonal component of the individual indicators before estimating the dynamic factor model, while the alternative uses the non seasonally adjusted data...

Persistent link: https://www.econbiz.de/10011083553

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2006

The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new parametric methodology for estimating factors from large datasets based on state space models and...

Persistent link: https://www.econbiz.de/10005788994

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2006

The estimation of structural dynamic factor models (DFMs) for large sets of variables is attracting considerable attention. In this paper we briefly review the underlying theory and then compare the impulse response functions resulting from two alternative estimation methods for the DFM....

Persistent link: https://www.econbiz.de/10005789043

Comparing Alternative Predictors Based on Large-Panel Factor Models

D'Agostino, Antonello; Giannone, Domenico - C.E.P.R. Discussion Papers - 2007

This paper compares the predictive ability of the factor models of Stock and Watson (2002) and Forni, Hallin, Lippi, and Reichlin (2005) using a large panel of US macroeconomic variables. We propose a nesting procedure of comparison that clarifies and partially overturns the results of similar...

Persistent link: https://www.econbiz.de/10005791574

Hedge Funds: Performance, Risk and Capital Formation

Fung, William; Hsieh, David A; Naik, Narayan; … - C.E.P.R. Discussion Papers - 2006

We use a comprehensive dataset of Funds-of-Hedge-Funds (FoFs) to investigate performance, risk and capital formation in the hedge fund industry over the past ten years. We confirm the finding of high systematic risk exposures in FoF returns. We divide up the past ten years into three distinct...

Persistent link: https://www.econbiz.de/10005792343

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