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Delegated portfolio management, optimal fee contracts, and asset prices
Sato, Yuki - 2015
This paper proposes a model of asset-market equilibrium with portfolio delegation and optimal fee contracts. Fund managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through fee contracts. In equilibrium, their investment...
Persistent link: https://www.econbiz.de/10011293478
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Exchange Traded Funds and Asset Return Correlations
Da, Zhi - 2016
We provide novel evidence supporting the notion that arbitrageurs can contribute to return comovement via ETF arbitrage. Using a large sample of U.S. equity ETF holdings, we document the link between measures of ETF activity and return comovement at both the fund and the stock levels, after...
Persistent link: https://www.econbiz.de/10013007888
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Overselling Winners and Losers : How Mutual Fund Managers' Trading Behavior Affects Asset Prices
An, Li - 2020
We link a seemingly biased trading behavior to equilibrium asset prices. U.S. equity mutual fund managers tend to sell both their big winners and big losers. This selling pressure pushes down current prices and leads to higher future returns; aggregating across funds, we nd that securities for...
Persistent link: https://www.econbiz.de/10012856415
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Signaling or marketing : the role of discount control mechanisms in closed-end funds
Kräussl, Roman; Pollet, Joshua M.; Stefanova, Denitsa - 2018
The discount control mechanisms that closed-end funds often choose to adopt before IPO are supposedly implemented to narrow the difference between share price and net asset value. The two discount control mechanisms are mandatory continuation votes facilitating subsequent fund liquidation and...
Persistent link: https://www.econbiz.de/10011911541
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Signaling or marketing? : the role of discount control mechanisms in closed-end funds
Kräussl, Roman; Pollet, Joshua M.; Stefanova, Denitsa - 2018
We study the relevance of signaling and marketing as explanations for the discount control mechanisms that a closed-end fund may choose to adopt in its prospectus. These policies are designed to narrow the potential gap between share price and net asset value, measured by the fund's discount....
Persistent link: https://www.econbiz.de/10011901259
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Equilibrium Liquidity Premia of Private Equity Funds
Buchner, Axel - 2015
This paper proposes a theory of the equilibrium liquidity premia of private equity funds and explores its asset …-pricing implications. The theory is based on the notion that investors are exposed to the risk of facing surprise liquidity shocks, which … parameters closely match data of buyout funds and is illustrated by using numerical simulations. The theory generates a rich set …
Persistent link: https://www.econbiz.de/10013030408
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Fund Flows, Liquidity, and Asset Prices
2020
This paper tests whether mutual funds on aggregate matter for the equilibrium stock returns due to (i) uncertain fund flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the aggregate shocks to fund flows enter the pricing kernel in...
Persistent link: https://www.econbiz.de/10012849960
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Does Initial Mispricing Imply Equilibrium Price Overreaction and Wealth Divide?
Miceli, Maria-Augusta - 2013
We discover that letting agents pairwise sequentially exchange at "wrong" prices has a robust effect on prices at convergence. If the initial relative price for a good is cheaper than the equilibrium walrasian price due to initial endowments, the initial excess demand effect pushes resource...
Persistent link: https://www.econbiz.de/10013081713
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Real effects of stock underpricing
Hau, Harald; Lai, Sandy - 2012 - May 28, 2012
This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire sales by distressed equity funds during the 2007--2009 financial crisis to identify substantial exogenous underpricing. Firms whose stocks are most underpriced have considerably...
Persistent link: https://www.econbiz.de/10009554205
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Mandatory portfolio disclosure, stock liquidity, and mutual fund performance
Agarwal, Vikas; Mullally, Kevin; Tang, Yuehua; Yang, … - 2013
This paper studies the impact of mandatory portfolio disclosure of mutual funds on the liquidity of disclosed stocks and on fund performance. We consider a theoretical model of informed trading with different mandatory disclosure frequencies. Using a regulation change in May 2004 that increased...
Persistent link: https://www.econbiz.de/10009764572