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Gambling for Dollars: Strategic Hedge Fund Manager Investment

Bernhardt, Dan; Nosal, Ed - Federal Reserve Bank of Chicago - 2013

Hedge fund managers differ in ability and investors want to distinguish good ones from bad. Via the design of their investment strategies, better fund managers want to ease this inference problem while worse fund managers want to complicate it. We impose only the minimal restrictions on the...

Persistent link: https://www.econbiz.de/10010735676

The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors

D'Amico, Stefania; Fan, Roger; Kitzul, Yuriy - Federal Reserve Bank of Chicago - 2013

In the repo market, forward agreements are security-specific (i.e., there are no deliverable substitutes), which makes it an ideal place to measure the value of fluctuations in a security's available supply. In this study, we quantify the scarcity value of Treasury collateral by estimating the...

Persistent link: https://www.econbiz.de/10010735678

Momentum Trading, Return Chasing and Predictable Crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - Federal Reserve Bank of Chicago - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and … earned abnormally high risk-adjusted returns —a three factor alpha of 1 percent per month between 1927 and 2012 and 0 … remain invested in momentum even when the crash risk is known to be high when (1) he competes for funds from return and (2 …

Persistent link: https://www.econbiz.de/10011119888

On the Structural Interpretation of the Smets-Wouters “Risk Premium” Shock

Fisher, Jonas D. M. - Federal Reserve Bank of Chicago - 2014

This article shows that the "risk premium" shock in Smets and Wouters (2007) can be interpreted as a structural shock …

Persistent link: https://www.econbiz.de/10011093785

Corporate governance : implications for financial services firms ; proceedings, the 39th Annual Conference on Bank Structure and Competition

2003

Persistent link: https://www.econbiz.de/10003789494

Measuring productivity growth in Asia : do market imperfections matter?

Fernald, John G. (contributor); Neiman, Brent (contributor) - 2003 - [Elektronische Ressource]

"Recent research reports contradictory estimates of productivity growth for the newly industrialized economies (NIEs) of Asia. In particular, estimates using real factor prices find relatively rapid TFP growth; estimates using quantities of inputs and output find relatively low TFP growth. The...

Persistent link: https://www.econbiz.de/10001920609