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How Relative Compensation Can Lead to Herding Behavior
Chen, An - 2013
In this paper we analyze performance-based remuneration for risk-averse managers in a Black Scholes-type model. We assume that the firm's performance is influenced by an industry and a firm-specific risk. A relative performance compensation which rewards a manager relative to the exogenous...
Persistent link: https://www.econbiz.de/10013086767
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Predation versus Cooperation in Mutual Fund Families
Eisele, Alexander - 2020
In this paper, we investigate how mutual funds react to the distress of another fund in the same fund family. We test three alternative hypotheses: (1) funds help the distressed fund, (2) funds front-run the distressed fund improving their relative performance in the fund family and, (3) the...
Persistent link: https://www.econbiz.de/10012857252
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The Term Structure of Mutual Fund Herding
Liu, Xin - 2019
This paper investigates herding behaviors in U.S treasury markets. We document novel evidence that mutual funds exhibit strong herding behaviors on trading long-term treasuries. This “term-structure” herding is only pronounced for buy herding, not sell herding. The relationship between...
Persistent link: https://www.econbiz.de/10012858428
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Risk management, rational herding and institutional investors : a macro view
Menkhoff, Lukas; Lütje, Torben - 2003
Makroperspektive und fokussiert dabei die vorliegenden Anreize für rationales Herdenverhalten. In einer schriftlichen Befragung … professioneller Fondsmanager in Deutschland finden wir klare Hinweise für Herdenverhalten. Während alle unterschiedenen Gruppen der … Fondsmanager institutionelles Herdenverhalten wahrnehmen, nehmen es Fondsmanager in Leitungspositionen deutlich stärker wahr als …
Persistent link: https://www.econbiz.de/10010262912
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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...
Persistent link: https://www.econbiz.de/10010224773
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Portfolio delegation and market efficiency
Malamud, Semyon; Petrov, Evgeny - 2014
We develop a two-period general equilibrium model of portfolio delegation with competitive, differentially skilled managers and convex compensation contracts. We show that convex incentives lead to significant equilibrium mispricing, but reduce price volatility. In particular, price...
Persistent link: https://www.econbiz.de/10010337960
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Benchmarks in search markets?
Duffie, Darrell; Dworczak, Piotr; Zhu, Haoxiang - 2015
We characterize the price-transparency role of benchmarks in over-the-counter markets. A benchmark can, under conditions, raise social surplus by increasing the volume of beneficial trade, facilitating more efficient matching between dealers and customers, and reducing search costs. Although the...
Persistent link: https://www.econbiz.de/10011524569
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Amplification of Uncertainty in Illiquid Markets
Albagli, Elias - 2011
This paper argues that the capacity of financial markets to aggregate dispersed information about economic conditions is diminished in times of distress, resulting in countercyclical uncertainty. Building on a rational expectations equilibrium dynamic environment, I model informed traders as...
Persistent link: https://www.econbiz.de/10013128328
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Separating Portfolio Performance into Opportunity, Foresight, and Active Management Risk
Khang, Kenneth - 2011
We introduce a decomposition showing precisely how actively-managed portfolio returns can be separated into three measurable components that we call Opportunity, Foresight, and Active Management Risk. Opportunity reflects the degree to which the investment opportunity set contains exploitable...
Persistent link: https://www.econbiz.de/10013133301
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Time-Varying Fund Manager Skill
Kacperczyk, Marcin T. - 2012
We propose a new definition of skill as a general cognitive ability to either pick stocks or time the market at different times. We find evidence for stock picking in booms and for market timing in recessions. Moreover, the same fund managers that pick stocks well in expansions also time the...
Persistent link: https://www.econbiz.de/10013113537