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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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Delegated portfolio management, optimal fee contracts, and asset prices
Sato, Yuki - In: Journal of economic theory 165 (2016), pp. 360-389
Persistent link: https://www.econbiz.de/10011650112
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Liquidity risk and mutual fund performance
Xi, Dong; Feng, Shu; Sadka, Ronnie - In: Management science : journal of the Institute for … 65 (2019) 3, pp. 1020-1041
Persistent link: https://www.econbiz.de/10012013495
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Fund flows inducing mispricing of risk in competitive financial markets
Stahmer, Axel - 2015
This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...
Persistent link: https://www.econbiz.de/10011389297
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Performance measurement with selectivity, market and volatility timing
Ferson, Wayne E.; Mo, Haitao - In: Journal of financial economics 121 (2016) 1, pp. 93-110
Persistent link: https://www.econbiz.de/10011590678
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Data envelopment analysis and multifactor asset pricing models
Solórzano-Taborga, Pablo; Alonso-Conde, Ana Belén; … - In: International Journal of Financial Studies : open … 8 (2020) 2/24, pp. 1-18
Recent literature shows that market anomalies have significantly diminished, while research on market factors has largely improved the performance of asset pricing models. In this paper we study the extent to which data envelopment analysis (DEA) techniques can help improve the performance of...
Persistent link: https://www.econbiz.de/10012239304
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Tracking biased weights: asset pricing implications of value-weighted indexing
Jiang, Hao; Vayanos, Dimitri; Lu, Zheng - 2020
Persistent link: https://www.econbiz.de/10012487379
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Noisy factors
Akey, Pat; Robertson, Adriana Z.; Simutin, Mikhail - 2021
Persistent link: https://www.econbiz.de/10012886426
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Implementing mean-variance spanning tests with short-sales constraints
AitSahlia, Farid; Doellman, Thomas; Sardarli, Sabuhi - In: The journal of investment strategies 12 (2023) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10014484630
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Fund Flows, Liquidity, and Asset Prices
Kim, Minsoo - 2020
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 equilibrium and price 100 liquidity, fund flow beta, size, book …-to-market, profitability, and investment portfolio returns net of liquidity costs. The risk prices for the aggregate flow shocks are similar …
Persistent link: https://www.econbiz.de/10012849960