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Index Design : Hedging and Manipulation
Jarrow, Robert; Li, Siguang - 2021
This paper studies optimal index design to both facilitate hedging and alleviate illegal manipulation in a competitive …-weighted average pricing (VWAP) index both introduces basis risk and encourages manipulation because of the additional randomness in …) index both preserves market completeness and discourages manipulation …
Persistent link: https://www.econbiz.de/10013234570
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Challenges of Indexation in S&P 500 Index Volatility Investment Strategies
Sundberg, Margaret - 2019
S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … differentiated asset-class with relevance to the long-term utility of investors. Implications of the S&P 500 Index return … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …
Persistent link: https://www.econbiz.de/10012865881
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Productivity and performance measurement and management
Stainer, Alan (contributor) - 1999
Persistent link: https://www.econbiz.de/10001476139
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Productivity and performance of public sector organizations
Jackson, Peter M. - In: International journal of technology management : IJTM 17 (1999) 7/8, pp. 753-766
Persistent link: https://www.econbiz.de/10001476148
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Misure statistiche di performance produttiva : un percorso di metodi e di evidenze empiriche
Gazzei, Duccio Stefano; Lemmi, Achille; Viviani, Alessandro - 1997 - 1. ed
Persistent link: https://www.econbiz.de/10000997124
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Connected Firms and Investor Myopia
Ginglinger, Edith - 2017
Conglomerates, multinational corporations and business groups are non-exclusive forms of complex firms. Often organized as corporate networks, complex firms control a myriad of firms connected through ownership links. We investigate whether parent-subsidiary links within corporate networks...
Persistent link: https://www.econbiz.de/10012947337
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Performance maximization of actively managed funds
Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - 2010
Ratios that indicate the statistical significance of a fund’s alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...
Persistent link: https://www.econbiz.de/10003948797
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Skewness in Stock Returns : Reconciling the Evidence on Firm versus Aggregate Returns
Albuquerque, Rui A. - 2011
Aggregate stock market returns display negative skewness. Firm-level stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This paper provides a unified theory that reconciles the two facts by explicitly modeling...
Persistent link: https://www.econbiz.de/10013133437
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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
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Skewness in Stock Returns : Reconciling the Evidence on Firm Versus Aggregate Returns
Albuquerque, Rui A. - 2014
Aggregate stock market returns display negative skewness. Firm stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This article provides a unified theory that reconciles the two facts by explicitly modeling firm-level...
Persistent link: https://www.econbiz.de/10013068348