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Fund Manager Allocation
Fang, Jieyan; Kempf, Alexander; Trapp, Monika - In: Journal of Financial Economics 111 (2014) 3, pp. 661-674
managers can exploit inefficiencies and generate higher performance than unskilled managers. Fund families seem to be aware of … the relation between skill, efficiency, and performance, and allocate more skilled managers to inefficient markets. They …
Persistent link: https://www.econbiz.de/10010743554
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Allocation of decision rights and the investment strategy of mutual funds
Dass, Nishant; Nanda, Vikram; Wang, Qinghai - In: Journal of Financial Economics 110 (2013) 1, pp. 254-277
. Team-managed funds exhibit greater returns from specialization, in the form of better security selection performance than …-timing performance for sole- but not team-managed funds. …
Persistent link: https://www.econbiz.de/10011039222
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Political geography and stock returns: The value and risk implications of proximity to political power
Kim, Chansog; Pantzalis, Christos; Chul Park, Jung - In: Journal of Financial Economics 106 (2012) 1, pp. 196-228
We show that political geography has a pervasive effect on the cross-section of stock returns. We collect election results over a 40-year period and use a political alignment index (PAI) of each state's leading politicians with the ruling (presidential) party to proxy for local firms’...
Persistent link: https://www.econbiz.de/10010593839
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Real effects of stock underpricing
Hau, Harald; Lai, Sandy - In: Journal of Financial Economics 108 (2013) 2, pp. 392-408
This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire sales by distressed equity funds during the 2007–2009 financial crisis to identify substantial exogenous underpricing. Firms whose stocks are most underpriced have considerably...
Persistent link: https://www.econbiz.de/10010664046
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Winners in the spotlight: Media coverage of fund holdings as a driver of flows
Solomon, David H.; Soltes, Eugene; Sosyura, Denis - In: Journal of Financial Economics 113 (2014) 1, pp. 53-72
We show that media coverage of mutual fund holdings affects how investors allocate money across funds. Fund holdings with high past returns attract extra flows, but only if these stocks were recently featured in the media. In contrast, holdings that were not covered in major newspapers do not...
Persistent link: https://www.econbiz.de/10011039253
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Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms
Edelman, Daniel; Fung, William; Hsieh, David A. - In: Journal of Financial Economics 109 (2013) 3, pp. 734-758
firms that report performance to commercial databases compared with those that do not. We show that the largest divergences … between the performance of reporting and nonreporting mega firms can be traced to differential exposure to credit markets …. Thus, the performance of hard-to-observe mega firms can be inferred from observable data. This conclusion is robust to …
Persistent link: https://www.econbiz.de/10010681714
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Capacity constraints, investor information, and hedge fund returns
Ramadorai, Tarun - In: Journal of Financial Economics 107 (2013) 2, pp. 401-416
. While buy indications have little incremental power to predict hedge fund performance over and above well-known forecasting …
Persistent link: https://www.econbiz.de/10010616815
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Does PIN affect equity prices around the world?
Lai, Sandy; Ng, Lilian; Zhang, Bohui - In: Journal of Financial Economics 114 (2014) 1, pp. 178-195
This study examines the empirical controversy over the pricing effect of the Easley, Hvidkjaer, and O׳Hara (2002) probability of information-based trading, PIN, on a sample of 30,095 firms from 47 countries worldwide. Contrary to the empirical evidence of Easley, Hvidkjaer, and O׳Hara, but...
Persistent link: https://www.econbiz.de/10011039199
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The role of institutional investors in propagating the crisis of 2007–2008
Manconi, Alberto; Massa, Massimo; Yasuda, Ayako - In: Journal of Financial Economics 104 (2012) 3, pp. 491-518
Using novel data on investors' bond portfolios, we study the contagion of the crisis from securitized bonds to corporate bonds. When securitized bonds became “toxic” in August 2007, mutual funds retained the now illiquid securitized bonds and sold corporate bonds. Funds with negative flows...
Persistent link: https://www.econbiz.de/10011039258
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News-driven return reversals: Liquidity provision ahead of earnings announcements
So, Eric C.; Wang, Sean - In: Journal of Financial Economics 114 (2014) 1, pp. 20-35
This study documents a six-fold increase in short-term return reversals during earnings announcements relative to non-announcement periods. Following prior research, we use reversals as a proxy for expected returns market makers demand for providing liquidity. Our findings highlight significant...
Persistent link: https://www.econbiz.de/10010906188