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Index Funds, Asset Prices, and the Welfare of Investors
Schmalz, Martin C.; Zame, William R. - 2023
We present a general equilibrium model in which heterogeneous investors choose among bonds, stocks, and an Index Fund holding the market portfolio. We show that, under standard assumptions, an equilibrium exists. We then derive predictions for equilibrium asset prices, investor behavior, and...
Persistent link: https://www.econbiz.de/10014255122
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Unleveraged portfolios and pure allocation return
Alemanni, Barbara; Maggi, Mario Alessandro; Uberti, … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-11
proposing to take long positions on “short assets” (e.g. inverse ETF), thereby considering short positions as active investment …
Persistent link: https://www.econbiz.de/10012795929
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Liquidity, Style Investing, and Excess Comovement of Exchange-Traded Fund Returns
Broman, Markus S. - 2016
This study shows that exchange-traded fund (ETF) misvaluation — based on return differentials between ETFs and their … primarily from the ETF, rather than the NAV price. Excess comovements are greater for funds with high commonality in demand …
Persistent link: https://www.econbiz.de/10013007326
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Representative Investors Versus Best Clienteles : Performance Evaluation Disagreement in Mutual Funds
Chrétien, Stéphane - 2017
This paper develops a diagnostic tool for candidate performance measures that accounts for investor disagreement in mutual funds. We compare the evaluation for best clienteles, specified by an upper admissible performance bound, to the one for representative investors implicit in twelve models....
Persistent link: https://www.econbiz.de/10012955300
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The Information in Portfolio Holdings and Investors' Capital Allocations
Cao, Bingkuan (Bryan) - 2022
The paper studies mutual funds' portfolio management and investors' capital allocations in a unified framework under mandatory portfolio disclosure. By modeling fund managers and investors simultaneously, I show that more skill managers produce better performance by trading more actively, which...
Persistent link: https://www.econbiz.de/10014351727
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Investor heterogeneity and large-scale asset purchases
Breckenfelder, Johannes; De Falco, Veronica - 2024
Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor...
Persistent link: https://www.econbiz.de/10014528264
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Corporate governance in the presence of active and passive delegated investment
Corum, Adrian Aycan; Malenko, Andrey; Malenko, Nadya - 2020
Persistent link: https://www.econbiz.de/10012300522
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Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices
Buffa, Andrea M - 2018
benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …
Persistent link: https://www.econbiz.de/10012910534
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When Should Investors Choose an Alternative to Passively Investing in a Capitalization-Weighted Index?
Ezra, Don - 2017
We present a framework for deciding when to choose an alternative to passively investing in capitalization-weighted indices within any particular asset class. Five reasons are identified for seeking an alternative. Three of these reflect situations where a capitalization-weighted index is either...
Persistent link: https://www.econbiz.de/10012976468
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Age-Dependent Investing : Optimal Funding and Investment Strategies in Defined Contribution Pension Plans When Members are Rational Life Cycle Financial Planners
Blake, David P. - 2016
A defined contribution pension plan allows consumption to be redistributed from the plan member's working life to retirement in a manner that is consistent with the member's personal preferences. The plan's optimal funding and investment strategies therefore depend on the desired profile of...
Persistent link: https://www.econbiz.de/10012997297