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Extended dividend, cash flow and residual income valuation models: Accounting for deviations from ideal conditions

Heinrichs, Nicolas; Hess, Dieter; Homburg, Carsten; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011

Standard equity valuation approaches (i.e., DDM, RIM, and DCF model) are derived under the assumption of ideal conditions, such as infinite payoffs and clean surplus accounting. Because these conditions are hardly ever met, we extend the standard approaches, based on the fundamental principle of...

Persistent link: https://www.econbiz.de/10009323193

Management compensation and market timing under portfolio constraints

Agarwal, Vikas; Gómez, Juan-Pedro; Priestley, Richard - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011

This paper shows that portfolio constraints have important implications for management compensation and performance … private information. …

Persistent link: https://www.econbiz.de/10009372299

How do self-fulfilling prophecies affect financial ratings? An experimental study

Celjo-Hörhager, Sanela; Niessen, Alexandra - Institut für Finanzmarktforschung, Wirtschafts- und … - 2006

theoretical models like Kuhner (2001), rating agencies are more likely to reveal their private information if their rating can not … observe that agencies are more likely to assign ratings which are not in line with their private information. Our results …

Persistent link: https://www.econbiz.de/10010984860

Management compensation and market timing under portfolio constraints

Agarwal, Vikas; Gómez, Juan-Pedro; Priestley, Richard - Institut für Finanzmarktforschung, Wirtschafts- und … - 2012

This paper shows that portfolio constraints have important implications for management compensation and performance … private information. …

Persistent link: https://www.econbiz.de/10010984867

The influence of buy-side analysts on mutual fund trading

Frey, Stefan; Herbst, Patrick - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010

We present evidence of the impact of buy-side analysts on the behavior and performance of fund managers. Using data … lesser extent. Positive abnormal returns to buy-side analysts' revisions are also reflected in the performance of mutual fund …

Persistent link: https://www.econbiz.de/10008683756

Fund manager allocation

Fang, Jieyan; Kempf, Alexander; Trapp, Monika - Institut für Finanzmarktforschung, Wirtschafts- und … - 2012

We show that fund families allocate their fund managers to different market segments such that their skill is rewarded best. Whether a fund manager's skill is rewarded by higher alpha depends on the efficiency of the market segment in which she works. Even skilled managers can generate alpha...

Persistent link: https://www.econbiz.de/10010957171

On the relative performance of multi-strategy and funds of hedge funds

Agarwal, Vikas; Kale, Jayant R. - Institut für Finanzmarktforschung, Wirtschafts- und … - 2007

. The superior performance of MS funds continues to hold even when we control for fund characteristics such as size … MS funds and FOFs can co-exist in equilibrium in view of the significant differential in performance? We suggest that … ability in MS funds may be the driving force behind their superior performance relative to FOFs. …

Persistent link: https://www.econbiz.de/10010957220

Fund manager allocation

Fang, Jieyan; Kempf, Alexander; Trapp, Monika - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010

We study whether fund families efficiently allocate their fund managers to different market segments. Whether a fund manager can generate alpha simultaneously depends on her skills, and on the efficiency of the market segment in which she is employed. We show that in the more efficient...

Persistent link: https://www.econbiz.de/10008684958

Volatility of aggregate volatility and hedge funds returns

Agarwal, Vikas; Arisoy, Y. Eser; Naik, Narayan Y. - Institut für Finanzmarktforschung, Wirtschafts- und … - 2015

the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate …

Persistent link: https://www.econbiz.de/10011193684

The impact of work group diversity on performance: Large sample evidence from the mutual fund industry

Bär, Michaela; Niessen, Alexandra; Ruenzi, Stefan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2007

This paper investigates the impact of work group diversity on performance. Analyzing a uniquely large sample of … management teams from the U.S. mutual fund industry we find that the influence of diversity on performance depends on the … dimension of diversity that is analyzed. Informational diversity has a positive impact on performance, which is driven by tenure …

Persistent link: https://www.econbiz.de/10010984845