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Long-Run Investment Management Fee Incentives and Discriminating between Talented and Untalented Managers
Ferguson, Robert - 2016
determines if the contract renewal structure and fee arrangements discriminate effectively among talented and untalented managers …
Persistent link: https://www.econbiz.de/10012998156
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Tail parameters of stable distributions using one million observations of real estate returns from fice continents
Stein, Michael; Piazolo, Daniel; Stoyanov, Stoyan V. - 2013
Diese Studie widmet sich den Verteilungen von Immobilienrenditen. Wir verwenden die Klasse der Pareto-stabilen Verteilungen welche sich im Bereich der Analyse von Immobilienrenditen etabliert haben. Wir tragen zur Forschung in diesem Bereich bei, indem wir die erste umfassende globale Analyse...
Persistent link: https://www.econbiz.de/10010228013
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A theory on REIT’s advisor choice and the optimal compensation mechanism
Sun, Hua - In: The journal of real estate finance and economics 40 (2010) 4, pp. 387-411
Persistent link: https://www.econbiz.de/10003995148
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A Theory on Reit's Advisor Choice and the Optimal Compensation Mechanism
Sun, Hua - 2010
This paper proposes a model which examines the power of monitoring and forcing contract on improving managerial efficiency. We put particular focus on its implication regarding the choice of advisor type used by REITs. This question has long been a puzzling one in real estate literature. Our...
Persistent link: https://www.econbiz.de/10013147470
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Liquidity as an Investment Style
Ibbotson, Roger G. - 2013
We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...
Persistent link: https://www.econbiz.de/10013093548
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Asset Pricing Under Prior-Induced Beta Uncertainty
Hu, Shuting (Sophia) - 2018
We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate differences in perceived risk exposures, and thereby...
Persistent link: https://www.econbiz.de/10012935196
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Textual Sentiment in Finance : A Survey of Methods and Models
Kearney, Colm - 2016
We survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date. We summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and...
Persistent link: https://www.econbiz.de/10013007694
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Information Inertia
Illeditsch, Philipp K. - 2020
We show that aversion to risk and ambiguity leads to information inertia when investors process public news about assets. Optimal portfolios do not always depend on news that is worse than expected; hence, the equilibrium stock price does not reflect this bad news. This informational inefficiency...
Persistent link: https://www.econbiz.de/10012857251
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CEO's commitment bias, ownership concentration, and innovation decision : behavioral management of CEO's discretion
Fadhila, Hamza; Ali, Azouzi Mohamed; Anis, Jarboui - In: Cogent economics & finance 2 (2014) 1, pp. 1-24
concentration and the CEO’s attitude and behavior, we are showing on empirical grounds the relationship between the manager’s … managers. In particular, we found that the application of a persuasion mechanism does not have a real impact on the alignment … of the manager’s attitude and behavior in key tasks, such as the innovation decision. The CEO’s real behavior was more …
Persistent link: https://www.econbiz.de/10011560769
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Managerial Learning from Stock Prices : A Structural Examination
Goldstein, Itay - 2015
Using a structural market microstructure model, we develop a new measure of price informativeness that utilizes data on both price and volume, which we call the INF measure. We show that, compared to traditional measures, our measure is better at capturing information in prices, evidenced by...
Persistent link: https://www.econbiz.de/10013011554