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Managers, Investors, and Crises : Mutual Fund Strategies in Emerging Markets
Kaminsky, Graciela - 2001
This paper addresses the trading strategies of mutual funds in emerging markets. The data set we develop permits analysis of these strategies at the level of individual portfolios. Methodoloically, a novel feature is our disentangling the behavior of managers from that of underlying investors....
Persistent link: https://www.econbiz.de/10012788048
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Offshore Investment Funds : Monsters in Emerging Markets?
Kim, Woochan; Wei, Shang-Jin - 2021
The 1997-99 financial crises in the emerging markets have brought to the foreground the concern about offshore investment funds and their possible role in exacerbating volatility in the markets they invest in. Offshore investment funds are alleged to engage in trading behaviors that are...
Persistent link: https://www.econbiz.de/10013221512
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Conditional Asset Allocation in Emerging Markets
Harvey, Campbell R. - 2010
Within the context of conditional asset allocation strategies, this paper explores the implications of the low correlations of the emerging market returns with developed market returns and the relatively high degree predictability of emerging countries' returns. It is well known that low...
Persistent link: https://www.econbiz.de/10012763465
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Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
Du, Wenxin - 2016
We document that governments whose local currency debt provides them with greater hedging benefits actually borrow more … in foreign currency. We introduce two features into a government's debt portfolio choice problem to explain this finding …-cyclical inflation ex post, which leads risk-averse lenders to require a risk premium ex ante. This makes local currency debt too …
Persistent link: https://www.econbiz.de/10012983672
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Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis
Ben Dor, Arik - 2009
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
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Venture Capital Data : Opportunities and Challenges
Kaplan, Steven N. - 2016
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
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Alpha and Performance Measurement : The Effects of Investor Disagreement and Heterogeneity
Ferson, Wayne E. - 2013
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
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Currency Mismatches, Debt Intolerance and Original Sin : Why They are Not the Same and Why it Matters
Eichengreen, Barry; Hausmann, Ricardo; Panizza, Ugo - 2021
instead to the structure of global portfolios and international financial markets. The literature on currency mismatches, in …
Persistent link: https://www.econbiz.de/10013225038
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Digesting Anomalies : An Investment Approach
Hou, Kewei - 2012
Motivated from investment-based asset pricing, we propose a new factor model consisting of the market factor, a size factor, an investment factor, and a return on equity factor. The new factor model outperforms the Carhart four-factor model in pricing portfolios formed on earnings surprise,...
Persistent link: https://www.econbiz.de/10013099823
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The Valuation of Security Analysis
Kane, Alex - 2010
Active portfolio management is commonly partitioned into two types ofactivities: market timing, which requires forecasts of broad-based marketmovements, and security analysis, which requires the selection of individualstocks that are perceived to be underpriced by the market. Merton (1981)...
Persistent link: https://www.econbiz.de/10012763132