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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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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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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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Overselling Winners and Losers : How Mutual Fund Managers' Trading Behavior Affects Asset Prices
An, Li - 2020
We link a seemingly biased trading behavior to equilibrium asset prices. U.S. equity mutual fund managers tend to sell both their big winners and big losers. This selling pressure pushes down current prices and leads to higher future returns; aggregating across funds, we nd that securities for...
Persistent link: https://www.econbiz.de/10012856415
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Impact of managerial commitment on risk taking with dynamic fund flows
Kaniel, Ron; Tompaidis, Stathis; Zhou, Ti - 2014
We present a model with dynamic investment flows, where fund managers have the ability to generate excess returns and study how forcing them to commit part or all of their personal wealth to the fund they manage affects fund risk taking. We contrast the behavior of a manager that may invest her...
Persistent link: https://www.econbiz.de/10011808018
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Fund Flows, Liquidity, and Asset Prices
Kim, Minsoo - 2020
This paper tests whether mutual funds on aggregate matter for the equilibrium stock returns due to (i) uncertain fund flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the aggregate shocks to fund flows enter the pricing kernel in...
Persistent link: https://www.econbiz.de/10012849960
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Hedge Fund Flows and Performance Streaks : How Investors Weigh Information
Baquero, Guillermo - 2015
We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with the one of econometric forecast models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly...
Persistent link: https://www.econbiz.de/10013029677
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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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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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Robust Leveraged ETF Portfolios Extending Classic 40/60 Portfolios and Portfolio Insurance
Smirnov, Mikhail - 2020
proposed by us in 2017 paper as a leveraged ETF alternative to classical stocks/bonds portfolios performed well in 2018 and …
Persistent link: https://www.econbiz.de/10012840109