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Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds
Joenväärä, Juha; Kosowski, Robert - C.E.P.R. Discussion Papers - 2015
-compliant and other hedge funds. The latter exhibit more suspicious return patterns than do absolute return UCITS (ARUs), but ARUs …
Persistent link: https://www.econbiz.de/10011272713
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Bank Credit Tightening, Debt Market Frictions and Corporate Yield Spreads
Massa, Massimo; Zhang, Lei - C.E.P.R. Discussion Papers - 2015
We study how debt market frictions constraining the ability to replace bank with bond financing during a tightening in bank credit supply affect corporate yield spreads. We document that more inflexible firms suffer bigger increases in bond yield spreads as bank credit supply tightens. Debt...
Persistent link: https://www.econbiz.de/10011252612
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Personal Pensions with Risk sharing: Affordable, Adequate and Stable Private Pensions in Europe
Bovenberg, A Lans; Nijman, Theo E - C.E.P.R. Discussion Papers - 2015
Private pension provision faces the challenging task of providing stable income streams during retirement. The challenge has increased markedly in the last decades due to volatile financial markets, falling interest rates and the withdrawal of employers and external insurers as risk bearers of...
Persistent link: https://www.econbiz.de/10011252616
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The Tax Benefit of Income Smoothing
Rydqvist, Kristian; Schwartz, Steven; Spizman, Joshua - C.E.P.R. Discussion Papers - 2011
A worker can contribute pre-tax dollars to a private pension plan. Under a progressive tax, this feature reduces income taxes. Ippolito (1986} argues that an individual in 1979 can reduce lifetime taxes by 20%. We re-examine his analysis using the complete time-series of US income tax history...
Persistent link: https://www.econbiz.de/10009644030
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Investor Interest and Hedge Fund Returns
Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2010
Employing a new dataset of over 9,000 expressed demands for over 700 hedge funds from a secondary market for hedge funds, this paper finds evidence suggesting that hedge fund investors rationally anticipate future hedge fund performance. Both buy and sell indications of interest arrive following...
Persistent link: https://www.econbiz.de/10008692307
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On the High-Frequency Dynamics of Hedge Fund Risk Exposures
Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2011
We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important...
Persistent link: https://www.econbiz.de/10009205059
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On the Size of the Active Management Industry
Pástor, Luboš; Stambaugh, Robert F. - C.E.P.R. Discussion Papers - 2010
We analyze the equilibrium size of the active management industry and the role of historical data---how investors use it to decide how much to invest in the industry, and how researchers use it to judge whether the industry's size is reasonable. As the industry's size increases, every manager's...
Persistent link: https://www.econbiz.de/10008468523
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Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification
Boyle, Phelim; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - C.E.P.R. Discussion Papers - 2010
degree of ambiguity across assets, and (ii) the standard deviation of the estimate of expected return on each asset. If the … standard deviation of the expected return estimate and the difference between the ambiguity about familiar and unfamiliar … (flight to familiarity). Alternatively, if the standard deviation of the expected return estimate and the difference between …
Persistent link: https://www.econbiz.de/10008468537
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On the Dynamics of Hedge Fund Risk Exposures
Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2010
trade return and the recent performance of equity indices are the most important drivers of changes in hedge fund risk …
Persistent link: https://www.econbiz.de/10008468551
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Decentralized Investment Management: Evidence from the Pension Fund Industry
Blake, David; Timmermann, Allan G; Tonks, Ian; Wermers, Russ - C.E.P.R. Discussion Papers - 2010
The past few decades have seen a major shift from centralized to decentralized investment management by pension fund sponsors, despite the increased coordination problems that this brings. Using a unique, proprietary dataset of pension sponsors and managers, we identify two secular...
Persistent link: https://www.econbiz.de/10008530363