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Gambling for dollars : strategic hedge fund manager investment

Bernhardt, Dan; Nosal, Ed - 2013

Hedge fund managers differ in ability and investors want to distinguish good ones from bad. Via the design of their … investment strategies, better fund managers want to ease this inference problem while worse fund managers want to complicate it … induces less able hedge fund managers to adopt risky investment strategies that maximize the probability of meeting this …

Persistent link: https://www.econbiz.de/10010212767

Realized volatility

Andersen, Torben (contributor); Benzoni, Luca (contributor) - 2008

Persistent link: https://www.econbiz.de/10003786282

Accounting for macro-finance trends : market power, intangibles, and risk premia

Farhi, Emmanuel; Gourio, François - 2018

Real risk-free interest rates have trended down over the past 30 years. Puzzlingly in light of this decline, (1) the return on private capital has remained stable or even increased, creating an increasing wedge with safe interest rates; (2) stock market valuation ratios have increased only...

Persistent link: https://www.econbiz.de/10011932166

Why have interest rates fallen far below the return on capital

Marx, Magali; Mojon, Benoît; Velde, François R. - 2018

Risk-free rates have been falling since the 1980s while the return on capital has not. We analyze these trends in a calibrated OLG model with recursive preferences, designed to encompass many of the "usual suspects" cited in the debate on secular stagnation. Declining labor force and...

Persistent link: https://www.econbiz.de/10011788433

Inflation uncertainty and disagreement in bond risk premia

D'Amico, Stefania; Orphanides, Athanasios - 2014

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the subjective probability distributions available in the Survey of Professional Forecasters we construct a quarterly time series of average individual uncertainty about inflation...

Persistent link: https://www.econbiz.de/10010441139

Levered returns and capital structure imbalances

Ippolito, Filippo; Steri, Roberto; Tebaldi, Claudio; … - 2022

We revisit the relation between equity returns and financial leverage through the lens of a dynamic trade-off model with costly capital structure rebalancing. The model predicts that expected equity returns depend on whether a firm's leverage is above or below its target leverage. We provide...

Persistent link: https://www.econbiz.de/10013375176

CEO overconfidence and dividend policy

Deshmukh, Sanjay; Goel, Anand M.; Howe, Keith M. - 2009

We develop a model of the effect of CEO overconfidence on dividend policy and empirically examine many of its predictions. Consistent with our main prediction, we find that the level of dividend payout is lower in firms managed by overconfident CEOs. We document that this reduction in dividends...

Persistent link: https://www.econbiz.de/10003892557

Managerial incentives and financial contagion

Chakravorti, Sujit (contributor); Ilyina, Anna (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001920845