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Buffett's Alpha
Frazzini, Andrea; Pedersen, Lasse Heje; Kabiller, David - National Bureau of Economic Research (NBER) - 2013
Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to...
Persistent link: https://www.econbiz.de/10010951286
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Impossible Frontiers
Lo, Andrew W.; Brennan, Thomas J. - National Bureau of Economic Research (NBER) - 2008
A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio---the portfolio of all assets in which each asset's weight is proportional to its total market capitalization---lies on the mean-variance efficient frontier, the set of portfolios having mean-variance...
Persistent link: https://www.econbiz.de/10005710882
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Benchmarking Money Manager Performance: Issues and Evidence
Lakonishok, Josef; Chan, Louis; Dimmock, Stephen G. - National Bureau of Economic Research (NBER) - 2006
to evaluate portfolio performance. We assess the relative merits of several of the most widely-used procedures, including … returns. Simple alterations are provided that improve the performance of the methods. …
Persistent link: https://www.econbiz.de/10005718786
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Return Persistence and Fund Flows in the Worst Performing Mutual Funds
Tonks, Ian; Berk, Jonathan B. - National Bureau of Economic Research (NBER) - 2007
unwillingness of investors in these funds to respond to bad performance by withdrawing their capital. In contrast, funds that only …
Persistent link: https://www.econbiz.de/10005830941
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When Does a Mutual Fund's Trade Reveal its Skill?
Jagannathan, Ravi; Da, Zhi; Gao, Pengjie - National Bureau of Economic Research (NBER) - 2007
performance on average, and superior performance that is more likely to persist. The findings are not due to price momentum or the …
Persistent link: https://www.econbiz.de/10005774871
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The Shorting Premium and Asset Pricing Anomalies
Drechsler, Itamar; Drechsler, Qingyi Freda - National Bureau of Economic Research (NBER) - 2014
Short-rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.43%, a net return of 0.91%, and a 1.53%...
Persistent link: https://www.econbiz.de/10010821754
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The Dynamics of Financially Constrained Arbitrage
Vayanos, Dimitri; Gromb, Denis - National Bureau of Economic Research (NBER) - 2015
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing so provide liquidity to investors. A collateral...
Persistent link: https://www.econbiz.de/10011189087
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Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation
Zitzewitz, Eric; Cremers, Martijn; Petajisto, Antti - National Bureau of Economic Research (NBER) - 2012
benchmark indices. Both kinds of alternative models improve performance evaluation of actively managed portfolios, with the … index-based models exhibiting the best performance. …
Persistent link: https://www.econbiz.de/10011271442
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Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry
Hollifield, Burton; Glode, Vincent; Kacperczyk, Marcin; … - National Bureau of Economic Research (NBER) - 2009
market conditions. If the marginal investor allocates capital across mutual funds rationally, then the relative performance … of funds should be unpredictable. We find however that relative fund performance is predictable after periods of high … market returns but not after periods of low market returns. The asymmetric predictability in performance we document cannot …
Persistent link: https://www.econbiz.de/10005025640
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Keynes, King's and Endowment Asset Management
Chambers, David; Dimson, Elroy; Foo, Justin - National Bureau of Economic Research (NBER) - 2014
Founded in 1441, King's College was one of Cambridge University's wealthiest Colleges, endowed with a vast agricultural portfolio. John Maynard Keynes was appointed bursar just after WWI and initiated a major reallocation to equities, an innovation at least as radical as the late 20th century...
Persistent link: https://www.econbiz.de/10011106378