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Investors' expectations, management fees and the underperformance of mutual funds

Huesler, Andreas D.; Malevergne, Yannick; Sornette, Didier - 2012

Why do investors keep buying underperforming mutual funds? To address this issue, we develop a one-period principal-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the investors perception of the fund plays the key role...

Persistent link: https://www.econbiz.de/10009561613

Portfolio selection with options and transaction costs

Malamud, Semyon - 2014

I introduce dynamic option trading and non-linear views into the classical portfolio selection problem. The optimal dynamic option portfolio is characterized explicitly in terms of its expected sensitivities (Greeks) and the role of the mean-variance effi cient portfolio is played by the "Greek...

Persistent link: https://www.econbiz.de/10010337963

Portfolio selection with exploration of new investment opportunities

Sornette, Didier; Strub, Moris Simon - 2020

We introduce a model for portfolio selection with an extendable investment universe where the agent faces a trade-off between exploiting existing and exploring for new investment opportunities. An agent with mean-variance preferences starts with an existing investment universe consisting of a...

Persistent link: https://www.econbiz.de/10012271124

Bank CEO incentives and the credit crisis

Fahlenbrach, Rüdiger; Stulz, René M. - 2009

We investigate whether bank performance during the recent credit crisis is related to chief executive officer (CEO) incentives before the crisis. We find some evidence that banks with CEOs whose incentives were better aligned with the interests of shareholders performed worse and no evidence...

Persistent link: https://www.econbiz.de/10003970468

Former CEO directors : lingering CEOs or valuable resources?

Fahlenbrach, Rüdiger; Minton, Bernadette A.; Pan, Carrie H. - 2010

We investigate corporate governance experts' claim that it is detrimental to a firm to reappoint former CEOs as directors after they step down as CEOs. We find that more successful and more powerful former CEOs are more likely to be reappointed to the board multiple times after they step down as...

Persistent link: https://www.econbiz.de/10003979500

The dark side of outside directors : do they quit when they are most needed?

Fahlenbrach, Rüdiger; Low, Angie; Stulz, René M. - 2010

Following surprise independent director departures, affected firms have worse stock and operating performance, are more likely to restate earnings, face shareholder litigation, suffer from an extreme negative return event, and make worse mergers and acquisitions. The announcement returns to...

Persistent link: https://www.econbiz.de/10003979510

Risk-taking incentives, governance, and losses in the financial crisis

Chesney, Marc; Stromberg, Jacob; Wagner, Alexander F. - 2010

We argue that incentives to take equity risk ("equity incentives") only partially capture incentives to take asset risk ("asset incentives"). This is because leverage, while central to the theory of risk shifting, is not explicitly considered by equity incentives. Employing measures of asset...

Persistent link: https://www.econbiz.de/10003979511

Director independence as strategic behavior

Wagner, Alexander F. (contributor) - 2007

This paper analyzes board independence and competence as distinct, but inextricably linked aspects of board effectiveness. Competent directors add shareholder value because they have better information about the quality of projects. While a CEO cares about shareholder value, he also wants his...

Persistent link: https://www.econbiz.de/10003550804

Executive compensation : the view from general equilibrium

Danthine, Jean-Pierre (contributor); … - 2007

firm to risk averse managers. The optimal contract has two main components: an incentive component corresponding to a non … and that maximizing the discounted sum of future dividends will be her objective. Linking managers' compensation to … overall economic performance is also required to make sure that managers use the appropriate stochastic discount factor to …

Persistent link: https://www.econbiz.de/10003550864

The executive turnover risk premium

Peters, Florian; Wagner, Alexander F. - 2009

We establish that CEOs of companies experiencing volatile industry conditions are more likely to be dismissed. At the same time, industry risk is, accounting for various other factors, unlikely to be associated with CEO compensation other than through dismissal risk. Using this identification...

Persistent link: https://www.econbiz.de/10003961496

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