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Asset Management Contracts and Equilibrium Prices

Buffa, Andrea M. - 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/10012458188

Managing Bank Liquidity Risk : How Deposit-Loan Synergies Vary with Market Conditions

Gatev, Evan - 2006

Liquidity risk in banking has been attributed to transactions deposits and their potential to spark runs or panics. We show instead that transactions deposits help banks hedge liquidity risk from unused loan commitments. Bank stock-return volatility increases with unused commitments, but the...

Persistent link: https://www.econbiz.de/10012466434

Exchange Rate, Equity Prices and Capital Flows

Hau, Harald - 2002

incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important …

Persistent link: https://www.econbiz.de/10012469305

An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

Grossman, Sanford J. - 1987

volatility associated with current dynamic hedging strategies. There will thus be less information transmitted to those people … trades implied by the dynamic hedging strategies, In effect, the stocks' future price volatility can rise because of a … current lack of information about the extent to which dynamic hedging strategies are in place …

Persistent link: https://www.econbiz.de/10012476711

The Price of Variance Risk

Dew-Becker, Ian - 2015

In the period 1996-2014, the average investor in the variance swap market was indifferent to news about future variance at horizons ranging from 1 month to 14 years. It is only purely transitory and unexpected realized variance that were priced. These results present a challenge to most...

Persistent link: https://www.econbiz.de/10012457485

Bayesian Performance Evaluation

Baks, Klaas - 1999

This paper proposes a Bayesian method of performance evaluation for investment managers. We begin with a flexible set of prior beliefs that can be elicited without any reference to probability distributions or their parameters. We then combine these prior beliefs with a general multi-factor...

Persistent link: https://www.econbiz.de/10012471727

What Gets Measured Gets Managed : Investment and the Cost of Capital

He, Zhiguo; Liao, Guanmin; Wang, Baolian - National Bureau of Economic Research - 2022

We study the impact of government-led incentive systems by examining a staggered reform in the Chinese state-owned enterprise (SOE) performance evaluation policy. To improve capital allocative efficiency, in 2010, regulators switched from using return on equity (ROE) to economic value added...

Persistent link: https://www.econbiz.de/10012938744

Private Equity Indices Based on Secondary Market Transactions

Boyer, Brian - 2018

Measuring the performance of private equity investments (buyout and venture) has historically only been possible over long horizons because the IRR on a fund is only observable following the fund's final distribution. We propose a new approach to evaluating performance using actual prices paid...

Persistent link: https://www.econbiz.de/10012480859

Mutual Fund Performance and Flows During the COVID-19 Crisis

Pastor, Lubos - 2020

We present a comprehensive analysis of the performance and flows of U.S. actively-managed equity mutual funds during the COVID-19 crisis of 2020. We find that most active funds underperform passive benchmarks during the crisis, contradicting a popular hypothesis. Funds with high sustainability...

Persistent link: https://www.econbiz.de/10012481406

The Performance of Hedge Fund Performance Fees

Ben-David, Itzhak - 2020

We study the long-run outcomes associated with hedge funds' compensation structure. Over a 22-year period, the aggregate effective incentive fee rate is 2.5 times the average contractual rate (i.e., around 50% instead of 20%). Overall, investors collected 36 cents for every dollar earned on...

Persistent link: https://www.econbiz.de/10012481649

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