Showing 1 - 10 of 11
-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the … Fee ; Mutual Fund ; Asymmetric Information ; Principal-Agent Relationship ; Markup …
Persistent link: https://www.econbiz.de/10009561613
We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diffusion. We introduce a new, intrinsic characteristic of the aggregate dividend process...
Persistent link: https://www.econbiz.de/10003971106
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...
Persistent link: https://www.econbiz.de/10003971310
We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...
Persistent link: https://www.econbiz.de/10003979998
We provide a representation for the nonmyopic optimal portfolio of an agent consuming only at the terminal horizon when the single state variable follows a general di usion process and the market consists of one risky asset and a risk-free asset. The key term of our representation is a new...
Persistent link: https://www.econbiz.de/10008797739
Persistent link: https://www.econbiz.de/10003961709
Persistent link: https://www.econbiz.de/10011338808
The distribution of firm sizes is known to be heavy tailed. In order to account for this stylized fact, previous studies have focused mainly on growth through investments in a company's own operations (internal growth). Thereby, the impact of mergers and acquisitions (M&A) on the firm size...
Persistent link: https://www.econbiz.de/10011518770
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....
Persistent link: https://www.econbiz.de/10011411974
We introduce a model for portfolio selection with an extendable investment universe where the agent faces a trade-off between exploiting existing and exploring for new investment opportunities. An agent with mean-variance preferences starts with an existing investment universe consisting of a...
Persistent link: https://www.econbiz.de/10012271124