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Arbitrage, Idiosyncratic Risk and the Rationality of Discounts on Closed-End Funds
Gemmill, Gordon - 2011
mean to be negative. The more idiosyncratic is a fund's risk, the more difficult it is to make a copycat issue and the …
Persistent link: https://www.econbiz.de/10013128561
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Are Fund Managers Incentivised to Ignore Stock Market Jumps?
Chondrogiannis, Ilias; Freeman, Mark C.; Vivian, Andrew - 2023
. Specifically, the managers' option-type payment structure can incentivise them to not account for the downside risk induced by …
Persistent link: https://www.econbiz.de/10014258544
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Distribution of Individual Stock Performances and Fund Manager’s Stock Picking Ability
Chung, Y. Peter - 2010
We find that the performance distribution of the individual stocks inside a mutual fund can toss out additional information about the fund manager's stock picking ability. When a mutual fund contains mostly mediocre-performing stocks but one super-performer, it is likely that the overall fund...
Persistent link: https://www.econbiz.de/10013138124
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High Funding Risk, Low Return
Klingler, Sven - 2019
=3.53). In line with my theory, the performance difference between low-funding-risk and high-funding-risk funds is … funding risk, I show that funds with a high exposure to market-wide funding shocks - measured by changes in Libor-OIS spreads … - subsequently underperform funds with a low exposure to market-wide funding shocks by $5.99\%$ annually on a risk-adjusted basis (t …
Persistent link: https://www.econbiz.de/10012902671
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Securities lending and information acquisition
Greppmair, Stefan; Jank, Stephan; Saffi, Pedro A. C.; … - 2024
Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...
Persistent link: https://www.econbiz.de/10014501098
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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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Signaling or marketing : the role of discount control mechanisms in closed-end funds
Kräussl, Roman; Pollet, Joshua M.; Stefanova, Denitsa - 2018
shares more frequently in general or specifically when the discount is high. Moreover, the discount at IPO and the risk …
Persistent link: https://www.econbiz.de/10011911541
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Closed-end funds and discount control mechanisms
Kräussl, Roman; Pollet, Joshua M.; Stefanova, Denitsa - 2023
differences in skill are revealed through growing assets under management rather than risk-adjusted performance. …
Persistent link: https://www.econbiz.de/10014234466
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More Informative Disclosures, Less Informative Prices? Portfolio and Price Formation Around Quarter-Ends
Gormley, Todd A. - 2020
Fund trades and prices vary systematically with the quarterly reporting cycle. Funds are more likely to complete the building of a position at quarter-end, which is when most funds report positions to investors, and begin building new positions afterwards. While some of the observed shift in...
Persistent link: https://www.econbiz.de/10012853490
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Fund Flows, Liquidity, and Asset Prices
Kim, Minsoo - 2020
-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