[PDF] Top 20 Essays on delegated asset management

... The degree by which a fund loads on a holding should indicate the fund’s managers beliefs about the holding’s future performance. For example, if a manager strongly believes th a t IBM stock returns will be high, the ... See full document

... Over the last few decades, global financial markets have experienced major structural changes and severe crisis periods. The financial crisis of the late 1990s, and the very recent global crisis of 2007–2008, resulted in ... See full document

... Second, given that individual mutual funds rebalance their positions and that these trades don’t get fully absorbed by other mutual funds, I investigate the timing and the liquidity demands of these rebalancing trades. ... See full document

... One of the most salient trends in corporate debt markets in the past 10-15 years has been the increasing prevalence of callable bonds (see figure 1). In this paper we study and explain this increase. We find that this ... See full document

... arbitrageurs are less well capitalized. They explicitly point out that arbitrageurs act as interme- diaries by providing liquidity to other investors. Brunnermeier and Pedersen (2009) elaborate on the relationship ... See full document

... between management and control, the large shareholder trades gradually to her optimal portfolio allocation if there is divergence of interests between manager and ... See full document

... 3) The result under 2) b) has some implications for the cross-section of returns. All else being equal, the equilib- rium risk premium is higher for assets where the preci- sion of fund managers’ signals is lower. This ... See full document

... Reinganum (1999) undertook a study to illustrate the importance of market capitalization exposure in portfolio management over time. Specifically, he focused on the differential return between small-cap and ... See full document

... This table reports results for the test to examine if the asset under management (TNA) has impli- cations for the trading costs of a fund. Our sample covers 1998-2003 for this test. We rank both the ... See full document

... risky asset trades at a ...risky asset to trade at a discount (premium) relative to the risk-neutral benchmark for a high (low) probability of v = 1 − d, since the high probability of a reputational loss ... See full document

... sumption and production sides of the economy, and show that the covariance with characteritics based factors and the cross–sectional difference in expected returns associated with firm characteristics are a theoretically ... See full document

... Earlier tests on the CAPM show that alphas are positive and betas are not priced (see Black, Jensen, and Scholes, 1972; Blume and Friend, 1973; and Fama and MacBeth, 1973; among many others). Some researchers try to find ... See full document

... There have been several papers that use information contained in the CDS data to make inferences about implied default risk in the economy. Feldh¨ utter and Nielsen (2012) propose a Bayesian Markov Chain Monte Carlo ... See full document

... on asset prices in a two-sector general equilibrium model, while Kogan and Papanikolaou (2013) and Kogan and Papanikolaou (2014) study the implications of IST shocks in partial-equilibrium ... See full document

... that asset valuations drop with increase in jump intensity, and in particular, are sensitive to jumps which affect the left tail of consumption ...that asset valuations decline when skewness becomes more ... See full document

... and management, to increase the productivity and wellbeing of staff, visitors and other users, then it is reaping reward for the organisation by increasing the operational efficiency and effectiveness (CIC, ...The ... See full document

... Asset-Liability Management wird heute als integraler Bestandteil eines unternehmerischen Risikomanagementsystems ...9 Asset-Liability Management stellt damit für Versicherungsunternehmen eine ... See full document

... estate management seeks to optimise the utilisation of real estate assets to facilitate the achievement of goals within non-real estate ...the management of commercial, residential and industrial corporate ... See full document

... The closest literatures are the equilibrium analysis of portfolio insurance by Basak (1995) and Grossman and Zhou (1996). Basak (1995) builds a similar consumption- based general equilibrium model and compares the ... See full document

... The impact of the prior performance of an investment on its future market value has received considerable attention in asset pricing literature. Some earlier studies in this area include Thaler and Johnson (1990), ... See full document