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Frazzini, Andrea - 2012

Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...

Persistent link: https://www.econbiz.de/10012460102

Asset Location for Retirement Savers

Poterba, James M. - 2000

This paper uses data on actual returns on taxable bonds, tax-exempt bonds, and a small sample of equity mutual funds over the 1962-1998 period to compare two asset location strategies for retirement savers. The first strategy gives priority to holding equities, through equity mutual funds, in a...

Persistent link: https://www.econbiz.de/10012470740

The Rise of Factor Investing : "Passive" Security Design and Market Implications

Cong, Lin William; Huang, Shiyang; Xu, Douglas - National Bureau of Economic Research - 2024

We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities (CSs) that facilitate trading the common factors in assets' liquidation values. Through accessing a larger basket of assets in endogenously chosen proportions,...

Persistent link: https://www.econbiz.de/10014468216

Indexing and the Incorporation of Exogenous Information Shocks to Stock Prices

Morck, Randall; Yavuz, Mehmet Deniz - National Bureau of Economic Research - 2023

Savings increasingly flow to low-cost index funds, which simply buy and hold the stocks in a major index, such as the S&P 500. Increased indexing impedes incorporation of idiosyncratic information into stock prices. We limit endogeneity bias by showing that exogenous idiosyncratic currency...

Persistent link: https://www.econbiz.de/10014447296

Portfolio Management in Private Equity

Brown, Gregory W.; Fei, Celine Yue; Robinson, David T. - National Bureau of Economic Research - 2023

General Partners (GPs) in private equity face a trade-off between focusing their skills and effort on fewer investments to earn higher returns, or investing more broadly to reduce risk through diversification. Using a novel, deal-level dataset of 5,925 global investments from 1999 to 2016, we...

Persistent link: https://www.econbiz.de/10014372421

Fund Flows and Income Risk of Fund Managers

Cen, Xiao; Dou, Winston Wei; Kogan, Leonid; Wu, Wei - National Bureau of Economic Research - 2023

Investment fund managers make asset allocation decisions on behalf of a significant segment of US households. To elucidate the incentives they operate under, as well as the income and career risks they face, we construct a unique and novel dataset, which encompasses detailed information on the...

Persistent link: https://www.econbiz.de/10014447307

The Determinants of Stock and Bond Return Comovements

Baele, Lieven - 2009

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …

Persistent link: https://www.econbiz.de/10012463390

Global Risk, Non-Bank Financial Intermediation, and Emerging Market Vulnerabilities

Chari, Anusha - National Bureau of Economic Research - 2023

Over the last two decades, the unprecedented increase in non-bank financial intermediation, particularly open-end mutual funds and ETFs, accounts for nearly half of the external financing flows to emerging markets exceeding cross-border lending by global banks. Evidence suggests that investment...

Persistent link: https://www.econbiz.de/10014250161

Dumb Money : Mutual Fund Flows and the Cross-Section of Stock Returns

Frazzini, Andrea - 2005

We use mutual fund flows as a measure for individual investor sentiment for different stocks, and find that high sentiment predicts low future returns at long horizons. Fund flows are dumb money -- by reallocating across different mutual funds, retail investors reduce their wealth in the long...

Persistent link: https://www.econbiz.de/10012467153

Mutual Fund Performance with Learning Across Funds

Jones, Christopher S. - 2002

This paper is based on the premise that knowledge about the alphas of one set of funds will influence an investor's beliefs about other funds. This will be true insofar as an investor's expectation about the performance of a fund is partly a belief about the abilities of mutual fund managers as...

Persistent link: https://www.econbiz.de/10012469311

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