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Screening discrimination in financial markets : evidence from CEO-fund manager dyads

Jaspersen, Stefan; Limbach, Peter - 2020 - This draft: March 2020

accounting for selective distribution of information. Mutual fund managers overweight firms whose CEOs resemble them in terms of … discrimination according to which in-group bias is a rational response to asymmetric information and has implications for fund …

Persistent link: https://www.econbiz.de/10012171464

Market power in the portfolio : product market competition and mutual fund performance

Jaspersen, Stefan - 2016 - This draft: September 2016

a superior risk-adjusted performance. This is consistent with information advantages due to a better understanding of … qualitative information on a firm's competitive environment. I find that funds with above median monopoly bets outperform by up to … identification strategy includes exogenous shocks to information quality using the Sarbanes-Oxley Act and to a firm's product market …

Persistent link: https://www.econbiz.de/10011539240

Speed of information diffusion within fund families

Cici, Gjergji; Jaspersen, Stefan; Kempf, Alexander - 2015 - This Draft: July 2015

We document that the speed of information dissemination within mutual fund families positively affects the performance … of member funds. This suggests that the resulting benefits of higher information precision far outweigh free-riding costs … associated with fast internal dissemination. The performance effect intensifies when information travels across managers from …

Persistent link: https://www.econbiz.de/10011296785

Creative destruction and asset prices

Grammig, Joachim; Jank, Stephan - 2010

This paper introduces Schumpeter's idea of creative destruction into asset pricing. The key point of our model is that small and value firms are more likely destroyed during technological revolutions, resulting into higher expected returns for these stocks. A two-factor model including market...

Persistent link: https://www.econbiz.de/10008666512

Endogenous benchmarks

Hunter, David L.; Kandel, Eugene; Kandel, Shmuel; … - 2010

This paper develops a new approach that controls for commonalities in actively managed investment fund returns when measuring their performance. It is well-known that many investment funds may systematically load on common priced factors omitted from popular models, exhibit similarities in their...

Persistent link: https://www.econbiz.de/10008666531

The performance of corporate-bond mutual funds : evidence based on security-level holdings

Cici, Gjergji; Gibson, Scott - 2010

This is the first study of corporate-bond mutual fund performance that examines detailed security-level holdings and returns. The new database allows us to decompose the costs and benefits of active management. In contrast to prior research on equity funds that shows evidence of stock-selection...

Persistent link: https://www.econbiz.de/10008748159

Changes in the composition of publicly traded firms : implications for the dividend-price ratio and return predictability

Jank, Stephan - 2012

This article documents how the changing composition of U.S. publicly traded firms has prompted a decline in the long-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend-price ratio for such changes resolves several issues with respect to the...

Persistent link: https://www.econbiz.de/10009663676

Mutual fund flows, expected returns, and the real economy

Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011

to mutual fund flows. Changes in dividend-price ratio explain mutual fund flows beyond the information contained in … also explain mutual fund flows. Mutual fund flows are, in accordance with the information-response hypothesis, forward …

Persistent link: https://www.econbiz.de/10008902922

Missing the marks? : dispersion in corporate bond valuations across mutual funds

Cici, Gjergji; Gibson, Scott; Merrick, John J. - 2010 - First Draft: November 2007, This Draft: July 14, 2010

We study the dispersion of month-end valuations placed on identical corporate bonds by different mutual funds. Such dispersion is related to bond-specific characteristics associated with liquidity and market volatility. TRACE may have contributed to the general decline in dispersion over our...

Persistent link: https://www.econbiz.de/10008760338

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10012175486