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Does Culture Influence Asset Managers? Views and Behavior?
Beckmann, Daniela; Menkhoff, Lukas; Suto, Megumi - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2007
, controlling for various determinants, the dimension of more Individualism predicts less herding behavior, more Power Distance …
Persistent link: https://www.econbiz.de/10005464737
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Culture's impact on institutional investors' trading frequency
Beracha, Eli; Fedenia, Mark; Skiba, Hilla - In: International Review of Financial Analysis 31 (2014) C, pp. 34-47
This paper examines how cross-cultural differences influence institutional investors' trading frequency within their own portfolio. We find evidence that as cultural distance between the investors and their stock holdings increases, institutions trade with lower frequency. Findings are...
Persistent link: https://www.econbiz.de/10010738218
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Information immobility, industry concentration, and institutional investors’ performance
Fedenia, Mark; Shafer, Sherrill; Skiba, Hilla - In: Journal of Banking & Finance 37 (2013) 6, pp. 2140-2159
This paper examines foreign institutional investors’ portfolio allocation and performance in US securities. We test how information immobility, proxied by information barriers between the investors’ home markets and the US, influences portfolio strategies. Consistent with theoretical...
Persistent link: https://www.econbiz.de/10010662602
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Information immobility, industry concentration, and institutional investors' performance
Fedenia, Mark; Shaffer, Sherrill; Skiba, Hilla - Crawford School of Public Policy, Australian National … - 2012
This paper examines foreign institutional investors' portfolio allocation and performance in US securities. We test how information immobility, proxied by cultural and geographical distance between the investors' home markets and the US, influences portfolio strategies. Consistent with...
Persistent link: https://www.econbiz.de/10011201642
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Do Firm Characteristics Influence Mutual Fund Performance? An Empirical Study for European Mutual Funds
de Jong, Frank; Wingens, Loes - In: Journal of Financial Perspectives 1 (2013) 1, pp. 159-168
This study investigates the influence of fund management firm characteristics on mutual fund performance. Using a sample of European-domiciled open-end equity funds for the period 1998-2008, this study finds that the funds of private companies have performed better than the funds of public...
Persistent link: https://www.econbiz.de/10010840130
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Economists’ hubris — the case of equity asset management
Shojai, Shahin; Feiger, George; Kumar, Rajesh - In: Journal of Financial Transformation 29 (2010), pp. 9-16
In this, the fourth article in the economists’ hubris paper series, we look at the contributions of academic thought to the field of asset management. We find that while the theoretical aspects of the modern portfolio theory are valuable, they offer little insight into how the asset management...
Persistent link: https://www.econbiz.de/10008498526
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Emerging Markets and Entry by Actively Managed Funds
Guembel, Alexander - Department of Economics, Oxford University - 2001
This paper investigates the incentives of investors to set up an actively managed fund in an emerging market or asset class. The analysis highlights the role of agency problems between fund managers and investors in determining this entry decision. It is shown that investors may wish to set up a...
Persistent link: https://www.econbiz.de/10010661424
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Buffett’s Alpha
Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2013
Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to...
Persistent link: https://www.econbiz.de/10011083650
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National culture and corporate cash holdings around the world
Chen, Yangyang; Dou, Paul Y.; Rhee, S. Ghon; Truong, Cameron - In: Journal of Banking & Finance 50 (2015) C, pp. 1-18
holdings are negatively associated with individualism and positively associated with uncertainty-avoidance. Second …, individualism and uncertainty avoidance influence the precautionary motive for holding cash. Third, firms in individualistic states … in the United States hold less cash than firms in collectivistic states. Fourth, we show that individualism is positively …
Persistent link: https://www.econbiz.de/10011118048
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Options delta hedging with no options at all
Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2014
The adjustment speed of delta hedged options exposure depends on the market realized and implied volatility. We observe that by consistently hedging long and short positions in options we can eventually end up with pure exposure to volatility without any options in the portfolio at all. The...
Persistent link: https://www.econbiz.de/10010934669