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The impact of pensions and insurance on global yield curves
Greenwood, Robin; Vissing-Jørgensen, Annette - 2018
data from 26 countries, the yield spread between 30-year and 10-year government bond yields is negatively related to the … destabilizing impact on bond markets that reverses once rules are changed …
Persistent link: https://www.econbiz.de/10011931879
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Bond ladders and optimal portfolios
Judd, Kenneth L.; Kubler, Felix; Schmedders, Karl - 2009
Many bond portfolio managers argue that bond laddering tends to outperform other bond investment strategies because it … reduces both market price risk and reinvestment risk for a bond portfolio in the presence of interest rate uncertainty …. Despite the popularity of bond ladders as a strategy for managing investments in fixed-income securities, there is surprising …
Persistent link: https://www.econbiz.de/10003966082
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ESG screening in the fixed-income universe
Alessandriniy, Fabio; Baptista Balula, David; Jondeau, Eric - 2021
This paper evaluates the impact of a screening process based on Environment, Social, and Governance (ESG) scores for an otherwise passive portfolio of investment-grade corporate bonds. The main result is that this filtering leads to a substantial improvement of the targeted ESG score without...
Persistent link: https://www.econbiz.de/10012800004
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A joint factor model for bonds, stocks, and options
Bali, Turan G.; Beckmeyer, Heiner; Goyal, Amit - 2023 - This version: November 8, 2023
Persistent link: https://www.econbiz.de/10014483091
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Pension liquidity risk
Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2024
Persistent link: https://www.econbiz.de/10014486912
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Obfuscation, learning, and the evolution of investor sophistication
Carlin, Bruce Ian; Manso, Gustavo - 2009
We develop a dynamic model to study the interaction between obfuscation and investor sophistication in retail financial markets. Taking into account different learning mechanisms within the investor population, we characterize the optimal timing of obfuscation for a profit-maximizing monopolist....
Persistent link: https://www.econbiz.de/10003971343
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False discoveries in mutual fund performance : measuring luck in estimated alphas
Barras, Laurent; Scaillet, Olivier; Wermers, Russ - 2009 - This version: April 2009
This paper develops a simple technique that controls for ldquo;false discoveries,rdquo; or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated...
Persistent link: https://www.econbiz.de/10003961716
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Mutual fund competition in the presence of dynamic flows
Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - 2008
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel. We characterize the set of equilibria for this delegated portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this paper...
Persistent link: https://www.econbiz.de/10003962143
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Predation versus cooperation in mutual fund families
Eisele, Alexander; Nefedova, Tamara; Parise, Gianpaolo - 2013
This paper explores the incentives for mutual funds to trade with sibling funds affiliated with the same group. To this end, we construct a dataset of almost one million equity transactions and compare the pricing of trades crossed internally (cross-trades) with that of twin trades executed with...
Persistent link: https://www.econbiz.de/10009750628
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Long/short equity hedge funds and systematic ambiguity
Gibson, Rajna; Ryabkov, Nikolay - 2014
This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and we construct the systematic ambiguity factors from...
Persistent link: https://www.econbiz.de/10010337996