Showing 1 - 10 of 11
We recover a forward-looking distribution of expected abnormal returns (alphas)for active equity mutual funds from analyst ratings. Professional analysts believe thatalphas are dispersed, that the average fund will underperform, and that the largestfunds will outperform. We estimate a rational...
Persistent link: https://www.econbiz.de/10012842405
Past trends in fundamentals linked to economic activity and inflation predict currency returns. We find that a trading strategy that goes long currencies with strong economic momentum and short currencies with weak economic momentum exhibits an annualized Sharpe ratio of 0.70 and yields a...
Persistent link: https://www.econbiz.de/10012904397
We characterize the optimal default fund in a defined contribution (DC) pension plan. Using detailed data on individuals' holdings inside and outside the pension system, we find substantial heterogeneity within and between passive and active investors in terms of labor income, financial wealth,...
Persistent link: https://www.econbiz.de/10012970347
We examine the portfolio choice of an investor with generalized disappointment-aversion preferences who faces log returns described by a normal-exponential model. We derive a three-fund separation strategy: the investor allocates wealth to a risk-free asset, a standard mean-variance efficient...
Persistent link: https://www.econbiz.de/10013004759
We examine the daily activity and performance of a large panel of individual investors in Sweden's Premium Pension System. We find that active investors earn significantly higher returns and risk-adjusted returns than inactive investors. A performance decomposition analysis reveals that most of...
Persistent link: https://www.econbiz.de/10013008454
It is well known that the interest rate differential predicts currency returns. However, we argue in a present-value model that the real exchange rate is also key to understanding currency returns. We find that a missing risk premium, which is closely related to the real exchange rate, explains...
Persistent link: https://www.econbiz.de/10012854860
We have reviewed Norges Bank's active management of the Government Pension Fund Global, referred to simply as the “Fund.”The absolute performance of the Fund is almost entirely determined by the benchmark choice set by the Ministry of Finance (the asset owner) and is dominated by equity...
Persistent link: https://www.econbiz.de/10012928745
The largest asset managers in the world report their expectations publicly in so-called capital market assumptions. We collect these expectations and revisit the relationship between equity premium expectations and equity valuation ratios. Asset managers' equity premium expectations are high...
Persistent link: https://www.econbiz.de/10013235238
In periods of global stress there are large movements in exchange rates and assets prices. Currencies of developed economies appreciate, with the US dollar appreciating the most. Global stock markets fall, but the fall is smaller for the US market than other markets. Richer countries have...
Persistent link: https://www.econbiz.de/10013291387
Hedge funds and financial intermediaries are connected through their prime brokerage relationship. We find that systematic financial intermediary risk, as measured by the covariation between the hedge fund return and the return of a portfolio of key prime brokers, is important for understanding...
Persistent link: https://www.econbiz.de/10012849074