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Devos, Erik - 2017

In the oversight of most funds, the portfolio manager holds the key decision-making power. Often regarded as foundational to the investment process, a few select managers can attract billions of dollars from investors, giving the managers increased prominence, credibility, and compensation....

Persistent link: https://www.econbiz.de/10012954973

Level 3 Assets and Credit Risk

Bao, May Xiaoyan - 2017

We examine the impact of Level 3 assets held by non-financial companies on credit risk. Specifically, we investigate how the pricing uncertainty of Level 3 assets is reflected in credit ratings, corporate bond yield spreads, and incidences of bond covenants. We find that higher holdings of Level...

Persistent link: https://www.econbiz.de/10012960309

Uncertainty, Capital Investment, and Corporate Diversification

Lee, Sangwon - 2019

This study examines how the effect of uncertainty on capital investment varies between focused firms and conglomerate segments. One advantage of conglomeration is that it gives segments access to the conglomerate's internal capital market, making them less likely to be financially constrained....

Persistent link: https://www.econbiz.de/10012904342

Portfolio Mean-Variance Approach Modifications : Modulus Function, Principles of Compromise, and 'Min-Max' Approach

Karpovich, Alexey - 2019

We offer a variant for the problem of portfolio selection, based on the modification of the quadratic function. It reduces overestimation of the contribution of large deviations of the market condition from the expected return. Further, we examine the modified "min-max" approach to portfolio...

Persistent link: https://www.econbiz.de/10012867089

Financial Education, Investor Protection and International Portfolio Diversification

Giofré, Maela - 2017

This paper investigates the effect of financial education on foreign portfolio investment. We show that higher investor financial education fosters international diversification, and that its role is particularly pronounced where information problems and monitoring costs are likely to be more...

Persistent link: https://www.econbiz.de/10012975094

Should Corporate Pensions Invest in Risky Assets? A Risk-sharing Perspective

Li, Wei - 2020

We use a modified corporate risk management framework (e.g., Froot and Stein, 1998) to understand how inefficient risk sharing between firms and employees leads to aggressive investment policies of defined corporate pensions as well as their declining popularity. For reasonable parameter values,...

Persistent link: https://www.econbiz.de/10012850993

A New Benchmark : Relative Performance Evaluation with Total Returns

Alanis, Emmanuel - 2020

theory occur at the asset level. Further, it is plausible that executives are concerned about the total value of the firm … view of Holmstrom and Milgrom (1987). Overall, our paper finds empirical support for a foundational theory in executive …

Persistent link: https://www.econbiz.de/10012856005

Chapter 23 : Behavioral Portfolio Theory and Investment Management

Rengifo, Erick W. - 2014

build on each other: prospect theory, safety-first portfolio theory, security-potential/aspiration (SP/A) theory, and … behavioral portfolio theory. SP/A theory evolves from safety-first portfolio theory and the introduction of aspiration level. The … behavioral portfolio theory integrates the idea of mental accounts from prospect theory with the portfolio optimization framework …

Persistent link: https://www.econbiz.de/10013053271

Chapter 22 : Diversification and Asset Allocation Puzzles

Georgarakos, Dimitris - 2014

diversification, and trading behavior. Standard finance theory predicts the optimal investment behavior of rational agents with … from theory predictions. The chapter also provides a discussion of empirical regularities that point to these deviations …

Persistent link: https://www.econbiz.de/10013053275

Corporate Social Responsibility, Pension Assumptions, and Risky Asset Allocations in Defined Benefit Pension Plans

Jang, Donghyeok - 2021

I explore the role of corporate social responsibility (CSR) in mitigating managers' opportunistic behavior related to defined benefit (DB) pension plan management. Strong CSR firms tend to engage less in earnings manipulation associated with executive option granting and CFO's pay sensitivity to...

Persistent link: https://www.econbiz.de/10013210926