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The performance of private equity funds : does diversification matter?

Lossen, Ulrich - 2006

This paper is the first systematic analysis of the impact of diversification on the performance of private equity funds …. A unique data set allows the exact evaluation of diversification across the dimensions financing stages, industries, and … countries. Very different levels of diversification can be observed across sample funds. While some funds are highly specialized …

Persistent link: https://www.econbiz.de/10010383033

Pitfalls and perils of financial innovation : the use of CDS by corporate bond funds

Adam, Tim; Güttler, André - 2015

We use the financial crisis of 2007-2009 as a laboratory to examine the costs and benefits of teams versus single managers in asset management. We find that when a fund uses complex trading strategies involving the use of CDS team-managed funds outperform solo-managed funds. This may be due to...

Persistent link: https://www.econbiz.de/10010503931

Paralyzed by shock and confused by glut : the portfolio formation behavior of peer-to-business lending investors

Dorfleitner, Gregor; Hornuf, Lars; Weber, Martina - 2018

We study the investor behavior on a leading peer-to-business lending platform and find evidence of two new investment biases - a default shock bias and a deep market bias. First, we find investors to stop investing in new loans and to cease from diversifying their portfolio after experiencing a...

Persistent link: https://www.econbiz.de/10011863582

Multifactor Funds vs. Homemade Factor Diversification Strategies

Estrada, Javier - 2023

Multifactor funds, which offer factor diversification neatly packaged in one product, have a rather short but poor … performance of multifactor funds relative to two homemade factor diversification strategies, which simply combine single …

Persistent link: https://www.econbiz.de/10014349953

Large shareholder diversification and corporate risk-taking

Faccio, Mara; Marchica, Maria-Teresa; Mura, Roberto - 2011

diversification across large shareholders. Exploiting this heterogeneity, we document that firms controlled by diversified large … shareholder diversification on corporate risk-taking is both economically and statistically significant. Our results have … welfare. -- Risk-taking choices ; Large shareholders ; Portfolio diversification …

Persistent link: https://www.econbiz.de/10009411473

Testing excess returns from passive options investment strategies

Dapena, José P.; Siri, Julian R. - 2017 - 1a ed.

When analyzing options returns, most papers tend to focus on the expected and realized return from strategies where the investors are long on those financial instruments. We conduct a test searching for excess returns on passive options investment strategies resorting to a four factor model,...

Persistent link: https://www.econbiz.de/10011607422

Unraveling the value premium : a reward for risk or mispricing?

Serur, Claudio E.; Siri, Julián R.; Serur, Juan Andrés; … - 2019

A value investing strategy consists of purchasing stocks relatively undervalued to their funda-mental values and selling those relatively overvalued. Finding this kind of companies has been one of the most challenging goals for investors throughout the history. The main objective of this paper...

Persistent link: https://www.econbiz.de/10012125294

Testing momentum effectfor the US market : from equity to option strategies

Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be appropriately rewarded by expected returns. In modern financial markets, there are countless quantitative and systematic strategies which may test and eventually lead to excess returns when...

Persistent link: https://www.econbiz.de/10011757486

Mutual fund investment horizon and performance

Lan, Chunhua; Moneta, Fabio; Wermers, Russ - 2015

This paper proposes several new holdings-based measures of fund investment horizon, and examines the relation between manager skills and fund holding horizon. We find that both aggregate holdings and trades of long-horizon funds are informative about superior future long-term stock returns,...

Persistent link: https://www.econbiz.de/10011307799

Window dressing in mutual funds

Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - 2014

We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which...

Persistent link: https://www.econbiz.de/10010363240

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