Showing 1 - 10 of 34
Persistent link: https://www.econbiz.de/10010410775
Persistent link: https://www.econbiz.de/10003969416
We study flows between investment funds and their effects on asset prices in a simple two-period version of Vayanos and Woolley (2010, VW). As in VW, flows cause assets to comove in ways unrelated to fundamentals, affect assets with high idiosyncratic risk the most, and raise the expected...
Persistent link: https://www.econbiz.de/10008823439
Persistent link: https://www.econbiz.de/10008746939
Persistent link: https://www.econbiz.de/10003981346
We investigate the effect of the ability of \non-traditional" funds to short-sell the equity of their debtors. This enables the funds to vote on the restructuring proposals of distressed firms, while at the same time they separate their voting rights from their economic exposure. The effect on...
Persistent link: https://www.econbiz.de/10008823435
Persistent link: https://www.econbiz.de/10000994246
Persistent link: https://www.econbiz.de/10002607447
Persistent link: https://www.econbiz.de/10009259738
We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment funds are triggered by changes in fund managers' efficiency, which investors either observe directly or infer from past performance. Momentum arises if fund flows exhibit...
Persistent link: https://www.econbiz.de/10008823442