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Decreasing Returns to Scale, Fund Flows, and Performance
Harvey, Campbell R. - 2019
Theoretical models imply fund size and performance should be negatively linked. However, empiricists have failed to uncover consistent support for this negative relation. Using a new econometric framework which includes fund-specific sensitivities to decreasing returns to scale, we find a both...
Persistent link: https://www.econbiz.de/10012901686
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Evaluating Private Equity Performance Using Stochastic Discount Factors
Gredil, Oleg - 2020
We examine the performance of 2,790 private equity (PE) funds incepted during 1979-2008 using Stochastic Discount Factors (SDFs) implied by the two leading consumption-based asset pricing models (CBAPMs) — external habit and long-run risks — as their assumptions appear consistent with...
Persistent link: https://www.econbiz.de/10012845721
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Mutual Fund Fragility, Dealer Liquidity Provisions, and the Pricing of Municipal Bonds
Li, Yi; O'Hara, Maureen; Zhou, Xing (Alex) - 2021
municipal bond market and carry lasting impacts. During the crisis, trading activities surge while dealers' liquidity provision … market's perceptions of mutual fund fragility risks. In the aftermath, yield spreads widen significantly more for bonds with …
Persistent link: https://www.econbiz.de/10013250920
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Factor-Based Hedge Fund Replication with Risk Constraints
Harris, Richard D. F. - 2017
In this paper, we propose a method for hedge fund replication using a factor-based model supplemented with a series of risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the approach to replicate the monthly returns of ten broad hedge...
Persistent link: https://www.econbiz.de/10012951213
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Mutual Fund Risk Premia – A Quantitative Framework for Mutual Fund Selection
Chauhan, Vinay - 2018
which are diversified across investment styles and generate better risk-adjusted performance compared to a market cap …
Persistent link: https://www.econbiz.de/10012909457
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Portfolio Performance Measure and a New Generalized Utility-Based N-Moment Measure
Billio, Monica - 2013
Most of the performance measures proposed in the financial and academic literature are subject to be gamed in an active management framework (Goetzmann et al., 2007). One of the main reasons of this drawback is due to an incomplete characterization by these measures of studied return...
Persistent link: https://www.econbiz.de/10013073128
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The Separation of Funds and Managers : A Theory of Investment Fund Structure and Regulation
Morley, John - 2014
This Article offers a broad theory of what distinguishes investment funds from ordinary companies, with ramifications …
Persistent link: https://www.econbiz.de/10013064275
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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 … the fund's current net asset value. Assuming a competitive market where fund managers capture all rents from managing the …
Persistent link: https://www.econbiz.de/10013030408
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Optimal allocation to private equity
Giommetti, Nicola; Sørensen, Morten - 2021
allocations are not monotonically declining in risk aversion. We extend the model with a secondary market for PE partnership … interests to study the implications of trading in this market and the pricing of NAV and unfunded liabilities …
Persistent link: https://www.econbiz.de/10012584452