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Optimal asset allocation under linear loss aversion
Fortin, Ines; Hlouskova, Jaroslava - 2010
Growing experimental evidence suggests that loss aversion plays an important role in asset allocation decisions. We study the asset allocation of a linear loss-averse (LA) investor and compare the optimal LA portfolio to the more traditional optimal mean-variance (MV) and conditional...
Persistent link: https://www.econbiz.de/10010293995
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The private equity premium puzzle revisited
Kartashova, Katya - 2011
In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors' methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989 - 1998 and...
Persistent link: https://www.econbiz.de/10010280050
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Secrets of the academy : the drivers of university endowment success
Lerner, Joshua; Schoar, Antoinette; Wang, Jialan - 2007 - Rev.
In this paper, we have sought to understand what has been the performance of university endowments, and what drives the observed pattern of performance. Our key observations are as follows: (a) the endowments of elite universities have grown dramatically faster than endowments overall; (b)...
Persistent link: https://www.econbiz.de/10003948682
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The private equity premium puzzle revisited
Kartashova, Katya - 2011
In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors' methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989 - 1998 and...
Persistent link: https://www.econbiz.de/10008841171
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Hidden liquidity : determinants and impact
Cebiroglu, Gökhan; Horst, Ulrich - 2012
and posted liquidity. Our findings moreover suggest that large hidden orders are associated with larger transaction costs …, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the … market, hidden liquidity provision gives rise to negative liquidity externalities. -- Hidden Liquidity ; Pretrade …
Persistent link: https://www.econbiz.de/10009506557
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Do financial advisors provide tangible benefits for investors? : evidence from tax-motivated mutual fund flows
Cici, Gjergji; Kempf, Alexander; Sorhage, Christoph - 2015 - [This version]: July 2015
Rationality would suggest that advice-seeking investors receive benefits from costly financial advice. However, evidence documenting these benefits for U.S. investors has so far been lacking. This paper is the first to document that U.S. mutual fund investors indeed receive one of the many...
Persistent link: https://www.econbiz.de/10011308611
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Limited partner performance and the maturing of the private equity industry
Sensoy, Berk A.; Wang, Yingdi; Weisbach, Michael S. - 2013
We evaluate the performance of limited partners' (LPs) private equity investments over time. Using a sample of 14,380 investments by 1,852 LPs in 1,250 buyout and venture funds started between 1991 and 2006, we find that the superior performance of endowment investors in the 1991-1998 period,...
Persistent link: https://www.econbiz.de/10009724586
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Optimal asset allocation under linear loss aversion
Fortin, Ines; Hlouskova, Jaroslava - 2010
Growing experimental evidence suggests that loss aversion plays an important role in asset allocation decisions. We study the asset allocation of a linear loss-averse (LA) investor and compare the optimal LA portfolio to the more traditional optimal mean-variance (MV) and conditional...
Persistent link: https://www.econbiz.de/10009732564
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Are financial advisors useful? : evidence from tax-motivated mutual fund flows
Cici, Gjergji; Kempf, Alexander; Sorhage, Christoph - 2012
This study shows that financial advisors provide useful tax advice to their clients, being the first to provide evidence of tangible benefits delivered by financial advisors in the U.S. We find that investors who purchase mutual fund shares through financial advisors exhibit a stronger tendency...
Persistent link: https://www.econbiz.de/10009664257
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Are financial advisors useful? : evidence from tax-motivated mutual fund flows
Cici, Gjergji; Kempf, Alexander; Sorhage, Christoph - 2013 - First Draft: November 2012, This Draft: February 2013
This study shows that financial advisors provide useful tax advice to their clients, being the first to provide evidence of tangible benefits delivered by financial advisors in the U.S. We find that investors who purchase mutual fund shares through financial advisors exhibit a stronger tendency...
Persistent link: https://www.econbiz.de/10009714123