Showing 1 - 10 of 187
This paper focuses on funds of funds (FOFs) as a form of financial intermediation in private equity (both buyout and venture capital). After accounting for fees, FOFs provide returns equal to or above public market indices for both buyout and venture capital. While FOFs focusing on buyouts...
Persistent link: https://www.econbiz.de/10012955933
We survey a representative sample of U.S. individuals about how well leading academic theories describe their financial beliefs and decisions. We find substantial support for many factors hypothesized to affect portfolio equity share, particularly background risk, investment horizon, rare...
Persistent link: https://www.econbiz.de/10012911457
This paper describes the available data and research on venture capital investments and performance. We comment on the challenges inherent in those data and research as well as possible opportunities to do better
Persistent link: https://www.econbiz.de/10012985208
Our framework for evaluating and investing in mutual funds combines observed returns on funds and passive assets with prior beliefs that distinguish pricing-model inaccuracy from managerial skill. A fund's alpha' is defined using passive benchmarks. We show that returns on non-benchmark passive...
Persistent link: https://www.econbiz.de/10012788075
We provide an introduction to the use of return based style analysis of Sharpe (1992) in practice. We demonstrate the importance of selecting the right style benchmarks and how the use of inappropriate style benchmarks may lead to wrong conclusions. When style analysis is applied to sector...
Persistent link: https://www.econbiz.de/10012767813
The literature has not unambiguously established that a positive alpha, as traditionally measured, means that an investor would want to buy a fund. However, when alpha is defined using the client's marginal utility function, a client faced with a positive alpha would generally want to buy. When...
Persistent link: https://www.econbiz.de/10013077226
We develop a dynamic equilibrium model of complex asset markets with endogenous entry and exit in which the investment technology of investors with more expertise is subject to less asset-specific risk. The joint equilibrium distribution of financial expertise and wealth then determines risk...
Persistent link: https://www.econbiz.de/10012954920
In most sectors, technological progress boosts efficiency. But financial technology and the associated data-intensive trading strategies have been blamed for market inefficiency. A key cause for concern is that better technology might induce traders to extract other's information from order flow...
Persistent link: https://www.econbiz.de/10012955436
Managers conducting earnings conference calls display distinctive styles in their word choice. Some CEOs and CFOs are straight talkers. Others, by contrast, are vague talkers. Vague talkers routinely use qualifying words indicating uncertainty, such as “approximately”, “probably”, or...
Persistent link: https://www.econbiz.de/10012955937
Momentum in firm fundamentals, i.e., earnings momentum, explains the performance of strategies based on price momentum. Earnings surprise measures subsume past performance in cross sectional regressions of returns on firm characteristics, and the time-series performance of price momentum...
Persistent link: https://www.econbiz.de/10013027261