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The perils of performance measurement in the German mutual-fund industry

Böhme, Philip; Pohl, Walter; Schmedders, Karl - 2013

We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany … infer each fund's NAV closing time from the best-fit market model using both maximum likelihood and Bayesian estimation. The … results of both approaches coincide perfectly and show that all but one of the funds domiciled in Germany report intraday NAVs …

Persistent link: https://www.econbiz.de/10009751161

The impact of news on higher moments

Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006

In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...

Persistent link: https://www.econbiz.de/10003394353

Sources of firm life-cycle dynamics : size vs. age effects

Küng, Lorenz; Yang, Mu-Jeung; Hong, Bryan - 2017

innovation we establish three key sets of stylized facts to inform recent theories of firm life-cycles. First, life-cycle effects … are driven by startups, not by new establishments of existing firms. Second, organizational restructuring and innovation … dynamics. Third, there are important sectoral differences in innovation activities which are monotonically increasing in firm …

Persistent link: https://www.econbiz.de/10012219335

Luck and entrepreneurial success

Liechti, Diego; Loderer, Claudio; Peyer, Urs C. - 2014

How much of entrepreneurial performance is sheer luck compared to talent, experience, education, and hard work? We define luck as unexpected performance and look for an answer in a large survey of entrepreneurs. Accordingly, luck ranks last in importance among various success factors and...

Persistent link: https://www.econbiz.de/10010443047

Mind the (convergence) gap: bond predictability strikes back!

Berardi, Andrea; Markovich, Michael; Plazzi, Alberto; … - 2019 - This version: August 29, 2019

We show that the difference between the natural rate of interest and the current level of monetary policy stance, which we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting regressions of bond excess returns significantly raises...

Persistent link: https://www.econbiz.de/10012134247

Cross-sectional and time-series tests of return predictability : what is the difference?

Goyal, Amit; Jegadeesh, Narasimhan - 2015

We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...

Persistent link: https://www.econbiz.de/10011296939

Extracting statistical factors when betas are time-varying

Gagliardini, Patrick; Ma, Hao - 2019 - This version: July 2019

This paper deals with identification and inference on the unobservable conditional factor space and its dimension in large unbalanced panels of asset returns. The model specification is nonparametric regarding the way the loadings vary in time as functions of common shocks and individual...

Persistent link: https://www.econbiz.de/10012176811

Implied volatility changes and corporate bond returns

Cao, Jie; Goyal, Amit; Ke, Sai; Zhan, Xintong - 2019

Corporate bonds with large increases in implied volatility over the past month underperform those with large decreases in implied volatility by 0.6% per month. In contrast to An, Ang, Bali, and Cakici (2014) who show that implied volatility changes carry information about fundamental news, our...

Persistent link: https://www.econbiz.de/10012179498

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Firm response to competitive shocks : evidence from China's minimum wage policy

Hau, Harald; Huang, Yi; Wang, Gewei - 2016

The large regional variation in minimum wage levels in the period 2002-08 in China implies that Chinese manufacturing firms experienced competitive shocks as a function of firm location and their low-wage employment share. We find that minimum wage hikes accelerate the input substitution from...

Persistent link: https://www.econbiz.de/10011519046