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Kacperczyk, Marcin T. - 2013

Mutual fund managers can outperform the market by picking stocks or timing the market successfully. Previous work has 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...

Persistent link: https://www.econbiz.de/10013080016

Rational Attention Allocation Over the Business Cycle

Kacperczyk, Marcin T. - 2013

The literature assessing whether mutual fund managers have skill typically regards skill as an immutable attribute of the manager or the fund. Yet, many measures of skill, such as returns, alphas, and measures of stock-picking and market-timing, appear to vary over the business cycle. Because...

Persistent link: https://www.econbiz.de/10013091837

Income Dispersion and Counter-Cyclical Markups

Veldkamp, Laura - 2009

We construct a model of counter-cyclical markups based on cyclical variation inthe dispersion of income across agents. The model is neoclassical in most respects, with monopolistically competitive firms facing a distribution of buyers that changes through time. Income dispersion is high during...

Persistent link: https://www.econbiz.de/10012766107

Learning Asymmetries in Real Business Cycles

Van Nieuwerburgh, Stijn - 2008

When an economic boom ends, the downturn is generally sharp and short. When growth resumes, the boom is more gradual. Our explanation for this pattern rests on learning about productivity. When agents believe productivity is high, they work, invest, and produce more. More production generates...

Persistent link: https://www.econbiz.de/10012768505

Learning Asymmetries in Real Business Cycles

Van Nieuwerburgh, Stijn - 2008

When a boom ends, the downturn is generally sharp and short. When growth resumes, theboom is more gradual. Our explanation rests on learning about productivity. When agentsbelieve productivity is high, they work, invest, and produce more. More production generates higher precision information....

Persistent link: https://www.econbiz.de/10012769096

Learning Asymmetries in Real Business Cycles

Veldkamp, Laura - 2008

When an economic boom ends, the downturn is generally sharp and short. When growthresumes, the boom is more gradual. Our explanation for this pattern rests on learning about productivity. When agents believe productivity is high, they work, invest, and produce more. More production generates...

Persistent link: https://www.econbiz.de/10012769257

Aggregate Shocks or Aggregate Information? Costly Information and Business Cycle Comovement

Veldkamp, Laura - 2011

Synchronized expansions and contractions across sectors define business cycles. Yet synchronization is puzzling because productivity across sectors exhibits weak correlation. While previous work examined production complementarity, our analysis explores complementarity in information...

Persistent link: https://www.econbiz.de/10012756489

The Seeds of a Crisis : A Theory of Bank Liquidity and Risk-Taking Over the Business Cycle

Acharya, Viral V. - 2013

macroeconomic risk, investors reduce direct investment and hold more bank deposits. This ‘flight to quality’ leaves banks flush with … liquidity. Inside banks, given lack of observability of effort, loan officers (or risk takers) are compensated based on the … volume of loans but are penalized if banks suffer a high enough liquidity shortfall. Outside banks, when there is heightened …

Persistent link: https://www.econbiz.de/10013094075

Finance and Efficiency : Do Bank Branching Regulations Matter?

Acharya, Viral V. - 2013

suggest that improving bank access to branching affects the sectoral specialization (or diversification) of output, in a …We document that the deregulation of bank branching restrictions in the United States triggered a reallocation across …

Persistent link: https://www.econbiz.de/10013095129