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Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...
Persistent link: https://www.econbiz.de/10011326964
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...
Persistent link: https://www.econbiz.de/10010224773
I revisit the Diamond-Dybvig model of liquidity insurance in the presence of hidden trades. The key result is that in this environment deposit-taking banks are not necessary for the efficient provision of liquidity. Mutual funds are constrained efficient when supplemented with the same...
Persistent link: https://www.econbiz.de/10011327337
I analyze welfare properties of mutual funds in the Diamond-Dybvig model with two sources of aggregate risk: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces undiversifiable interest rate risk. However, if only...
Persistent link: https://www.econbiz.de/10011339154
We propose a new approach for estimating mutual fund performance that simultaneously controls for both factor exposure and firm characteristics. This double-adjusted alpha is motivated by the recent findings that traditional Fama-French style factor models do not fully adjust returns for the...
Persistent link: https://www.econbiz.de/10012024029
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10011382429
Persistent link: https://www.econbiz.de/10010191216
An unprecedented number of investors are giving their financial advisors a mandate for socially responsible investing (SRI). Yet, the impact of SRI mandates on consumers is unclear. In a pre-registered lab-in-the-field experiment with 345 professional advisors, we find that advisors charge a...
Persistent link: https://www.econbiz.de/10012591238
tradable spot index whose aim is to replicate the return of an underlying benchmark index. When ETF futures are not available … to examine spillover effects, "generated regressors" may be used to construct both Financial ETF futures and Energy ETF … Financial ETF and Energy ETF in the spot and futures markets. Therefore, financial and energy ETFs are suitable for constructing …
Persistent link: https://www.econbiz.de/10011520509
relationship between VIX and ETF returns. The purpose of the paper is to investigate whether VIX returns affect ETF returns by … affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the … diagonal BEKK model is used to accommodate multivariate conditional heteroskedasticity in the VAR estimates of ETF returns …
Persistent link: https://www.econbiz.de/10011441620