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A Portfolio Approach to a Cross-sectoral and Cross-National Investment Strategy in Transition Economies

Buiter, Willem H.; Lago, Ricardo; Rey, Hélène - C.E.P.R. Discussion Papers - 1997

This paper takes a systematic look at the portfolio choice problem faced by investment banks or funds investing in transition economies. We relate the performance of projects in the transition economies to the broader macroeconomic and international environment, which affect the project through...

Persistent link: https://www.econbiz.de/10005661678

Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management

Basak, Suleyman; Pavlova, Anna; Shapiro, Alex - C.E.P.R. Discussion Papers - 2005

Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk...

Persistent link: https://www.econbiz.de/10005666418

Optimal Asset Allocation and Risk Shifting in Money Management

Basak, Suleyman; Pavlova, Anna; Shapiro, Alex - C.E.P.R. Discussion Papers - 2006

Persistent link: https://www.econbiz.de/10005666676

Liquidity Risk, Leverage and Long-Run IPO Returns

Eckbo, B Espen; Norli, Øyvind - C.E.P.R. Discussion Papers - 2005

We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand Nasdaq initial public offering (IPO) stocks are bought and held for up to five years. The average long-run portfolio return is low, but IPO stocks appear as ‘longshots’, as...

Persistent link: https://www.econbiz.de/10005124287

Risk Taking and Optimal Contracts for Money Managers

Palomino, Frédéric; Prat, Andrea - C.E.P.R. Discussion Papers - 1999

Recent empirical work suggests a strong connection between the incentives money managers are offered and their risk-taking behavior. We develop a general model of delegated portfolio management, with the feature that the agent can control the riskiness of the portfolio. This represents a...

Persistent link: https://www.econbiz.de/10005504241

Relative Performance, Risk and Entry in the Mutual Fund Industry

Lóránth, Gyöngyi; Sciubba, Emanuela - C.E.P.R. Discussion Papers - 2002

This Paper constitutes a first attempt to analyse the impact of the emergence of new funds on portfolio decisions of mutual fund managers who are evaluated on the basis of relative performance. Recent theoretical literature has pointed to the inefficiencies in portfolio selection caused by...

Persistent link: https://www.econbiz.de/10005792106

Mutual Fund Tournament: Risk Taking Incentives Induced By Ranking Objectives

Goriaev, Alexei P.; Palomino, Frédéric; Prat, Andrea - C.E.P.R. Discussion Papers - 2001

There is now extensive empirical evidence showing that fund managers have relative performance objectives and adapt their investment strategy in the last part of the calendar year to balance their performance in the early part of the year. However, emphasis was put on returns in excess of some...

Persistent link: https://www.econbiz.de/10005661627

Monitoring Managers: Does it Matter?

Cornelli, Francesca; Kominek, Zbigniew; Ljungqvist, … - C.E.P.R. Discussion Papers - 2009

with detailed ‘hard’ information about the board’s performance expectations and ‘soft’ information about board and CEO … actions and the board’s beliefs about CEO competence in 473 mostly private-sector companies backed by private equity funds … for making 'honest mistakes.' Following forced CEO turnover, companies see performance improvements and their investors …

Persistent link: https://www.econbiz.de/10008491717

Corporate Governance and Value Creation: Evidence from Private Equity

Acharya, Viral V; Hahn, Moritz; Kehoe, Conor - C.E.P.R. Discussion Papers - 2009

We examine deal-level data on private equity transactions in the UK initiated during the period 1996 to 2004 by mature private equity houses. We un-lever the deal-level equity return and adjust for (un-levered) return to quoted peers to extract a measure of "alpha" or abnormal performance of the...

Persistent link: https://www.econbiz.de/10004980202

Rollover Risk and Market Freezes

Acharya, Viral V; Gale, Douglas M; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2009

We consider the debt capacity of a risky asset when debt is being rolled over and there is a liquidation cost in case of default. We show that debt capacity depends on how information about the quality of the asset is revealed. When the information structure is based on “optimistic”...

Persistent link: https://www.econbiz.de/10004980204

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