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How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach
Reuter, Jonathan - 2010
The level of diseconomies of scale in asset management has important implications for tests of manager skill and the …
Persistent link: https://www.econbiz.de/10012462327
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Time-Varying Fund Manager Skill
Kacperczyk, Marcin - 2011
estimated picking and timing skill, assuming that each manager is endowed with a fixed amount of each and found some evidence of … picking skills and little evidence of timing skills among successful managers. This paper estimates skill separately in booms … finding to develop a new methodology for detecting managerial skill. The results suggest that some but not all managers have …
Persistent link: https://www.econbiz.de/10012461042
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Costs Of Financial Distress, Delayed Calls Of Convertible Bonds, And The Role Of Investment Banks
Jaffee, Dwight - 1988
In a frictionless market with perfect information, a shareholder-wealth- maximizing firm should force conversion of its convertible bond issue into stock as soon as the bond comes in-the-money. Firms however appear to systematically delay forced conversion, sometimes for years, beyond this time....
Persistent link: https://www.econbiz.de/10012476509
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CAPM for Estimating the Cost of Equity Capital : Interpreting the Empirical Evidence
Da, Zhi - 2009
We argue that the empirical evidence against the Capital Asset Pricing Model (CAPM) based on stock returns does not invalidate its use for estimating the cost of capital for projects in making capital budgeting decisions. Since stocks are backed not only by projects in place, but also the...
Persistent link: https://www.econbiz.de/10012463759
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Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
Pastor, Lubos - 2006
We reexamine the time-series relation between the conditional mean and variance of stock market returns. To proxy for the conditional mean return, we use the implied cost of capital, computed using analyst forecasts. The usefulness of this proxy is shown in simulations. In empirical analysis, we...
Persistent link: https://www.econbiz.de/10012466730
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Costs of Equity Capital and Model Mispricing
Pastor, Lubos - 1998
Costs of equity for individual firms are estimated in a Bayesian framework using several factor-based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whose average return...
Persistent link: https://www.econbiz.de/10012472312
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Foreign Speculators and Emerging Equity Markets
Bekaert, Geert - 1997
A number of countries have delayed the opening of their capital markets to international" investment because of reservations about the impact of foreign speculators on both expected" returns and market volatility. We propose a cross-sectional time-series model that attempts to" assess the impact...
Persistent link: https://www.econbiz.de/10012472501
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Corporate Discount Rates
Gormsen, Niels; Huber, Kilian - National Bureau of Economic Research - 2023
Standard theory implies that the discount rates used by firms in investment decisions (i.e., their required returns to capital) determine investment and transmit financial shocks to the real economy. However, there exists little evidence on how firms' discount rates change over time and affect...
Persistent link: https://www.econbiz.de/10014322717
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When Does a Mutual Fund's Trade Reveal its Skill?
Da, Zhi - 2007
We conjecture that a mutual fund manager with superior stock selection ability is more likely to benefit from trading in stocks affected by information-events. Taking the probability of informed trading (PIN, Easley, Kiefer, O'Hara, and Paperman, 1996) to measure the amount of informed trading...
Persistent link: https://www.econbiz.de/10012465014
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Are Mutual Fund Managers Paid For Investment Skill?
Ibert, Markus - 2017
Compensation of mutual fund managers is paramount to understanding agency frictions in asset delegation. We collect a unique registry-based dataset on the compensation of Swedish mutual fund managers. We find a concave relationship between pay and revenue, in contrast to how investors compensate...
Persistent link: https://www.econbiz.de/10012455308