共查询到20条相似文献,搜索用时 31 毫秒
1.
In a continuous-time framework, the issue of how to delegate an investor’s portfolio decision to a portfolio manager is studied.
First, we solve the first-best problem. For the second-best case, a specific quadratic contract is introduced resolving the
agency conflict completely in the sense that the solutions to the first-best and second-best problems coincide. This contract
can be implemented if the investor is able to observe the value of the growth optimal portfolio at her investment horizon.
If the investment opportunity set is assumed to be constant, in equilibrium the value of the market portfolio is a sufficient
statistic for the value of the growth optimal portfolio. Throughout the paper, we assume that the investor and the manager
have homogeneous expectations about the investment opportunity set. This, however, does not necessarily mean that investor
and manager are symmetrically informed about all prices.
相似文献
Ralf KornEmail: |
2.
Luis Ferruz Luis Vicente Laura Andreu 《Review of Quantitative Finance and Accounting》2009,32(1):85-100
This article analyzes the phenomenon of performance persistence in Spanish equity pension plans between 1999 and 2006 to determine
whether plans with higher performance in one period continue obtaining higher performance in the future. It also aims to determine
the influence of past performance on investor behavior in order to examine whether money and investor flows of these portfolios
are affected by past performance. The results reveal the existence of short-term performance persistence and a statistically
significant relationship between historical returns and investment flows.
相似文献
Laura AndreuEmail: |
3.
Fabrice Barthélémy Jean-Luc Prigent 《The Journal of Real Estate Finance and Economics》2009,38(1):59-87
This paper examines the properties of optimal times to sell a diversified real estate portfolio. The portfolio value is supposed
to be the sum of the discounted free cash flows and the discounted terminal value (the discounted selling price). According
to Baroni et al. (Journal of Property Investment and Finance 25(6):603–625, 2007b), we assume that the terminal value corresponds to the real estate index. The optimization problem corresponds to the maximization
of a quasi-linear utility function. We consider three cases. The first one assumes that the investor knows the probability
distribution of the real estate index. However, at the initial time, he has to choose one deterministic optimal time to sell.
The second one considers an investor who is perfectly informed about the market dynamics. Whatever the random event that generates
the path, he knows the entire path from the beginning. Then, given the realization of the random variable, the path is deterministic
for this investor. Therefore, at the initial time, he can determine the optimal time to sell for each path of the index. Finally,
the last case is devoted to the analysis of the intertemporal optimization, based on the American option approach. We compute
the optimal solution for each of these three cases and compare their properties. The comparison is also made with the buy-and-hold
strategy.
相似文献
Jean-Luc PrigentEmail: |
4.
We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of
some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance
of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain
investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities
that the trusts hold.
相似文献
Jonathan FletcherEmail: |
5.
Hsuan-Chu Lin 《Review of Quantitative Finance and Accounting》2007,29(2):173-180
This paper identifies and corrects a typographical error in Black and Cox (J Finance 31:351–367, 1976). While the typographical error is seemingly trivial, the magnitude of the pricing error that it generates can be substantial.
相似文献
Hsuan-Chu LinEmail: |
6.
Return enhancement trading strategies for size based portfolios 总被引:1,自引:1,他引:0
Recent theoretical work suggests that definitions of market efficiency that allow for the possibility of time-varying risk-premia
will generally lead to return sign predictability. Consistent with this theory, we show that a logit model based on the lagged
value of the market risk premium is useful for successfully predicting the return sign for CRSP small decile portfolio returns,
but not large ones. We additionally employ this model in market timing simulations of micro-cap mutual funds in which investment
can actually be made. The results indicate that a market-timing strategy based on our return-sign forecasting model outperforms
a buy-and-hold strategy for 13 of 14 micro-cap funds studied. On average, the buy-and-hold strategy produces an average compound
return of 11.98% per annum versus an average of 16.60% for the market-timing strategy. Nevertheless, trading restrictions
make the return-sign forecasting model more practical to employ by the micro-cap fund portfolio manager rather than the individual
fund investor.
相似文献
Bruce G. ResnickEmail: |
7.
We study the impact of residential and non-residential investment on economic growth using U.S. data. Unlike previous studies
we include the external sector (net exports) in our estimations, and we calculate impulse response analysis using Pesaran
and Shin’s (Economics Letters 58:17–29, 1998) generalized impulse response approach. We find that shocks to residential investment
have a larger impact on GDP than shocks to non-residential investment, which supports the findings of the closed-economy approach
of Coulson and Kim (Real Estate Economics 28:233–247, 2000). However, a closed economy model tends to overstate the importance
of residential investment and understate the relevance of nonresidential investment.
相似文献
Hilde PatronEmail: |
8.
Carl R. Chen Peter P. Lung F. Albert Wang 《Review of Quantitative Finance and Accounting》2009,32(4):317-349
This paper employs the Campbell-Shiller (Rev Financ Stud 1:195–228, 1988) VAR model to derive a model-based mispricing measure that captures investor overreaction to growth. Using this mispricing
measure, we find that stocks with low levels of mispricing outperform otherwise similar stocks. The long–short mispricing
strategy generates statistically and economically significant returns over the sample period of July 1981 to June 2006. Moreover,
this mispricing strategy outperforms the contrarian strategy using various accounting-fundamental-to-price ratios. Our results
cast doubt on the risk story in explaining the abnormal returns of the mispricing strategy. Rather, our evidence suggests
that asset prices reflect both covariance risk and mispricing.
相似文献
F. Albert WangEmail: |
9.
Herding,momentum and investor over-reaction 总被引:2,自引:2,他引:0
In this paper we study the impact of noise or quality of prices on returns. The noise arises from herding by market participants
beyond what is justified by information. We construct a firm-quarter-specific measure of speculative intensity (SPEC) based
on autocorrelation in daily trading volume adjusted for the amount of information available, and find that speculative intensity
has a significant positive impact on returns. Both cross-sectional and time series variation in SPEC are consistent with conventional
wisdom, and with implications of theories of herding as in DeLong et al. (1990, J Political Econ 98(4):703–738). We find that high-SPEC firms drive the returns to momentum trading strategies and that
investor over-reaction is significant only in the case of high-SPEC firms.
相似文献
Murugappa (Murgie) Krishnan (Corresponding author)Email: |
10.
Dirk Brounen Piet Eichholtz David C. Ling 《The Journal of Real Estate Finance and Economics》2007,35(4):449-474
This paper investigates whether it is possible to create value through the active management of direct property portfolios.
Using data from the USA, the UK and Australia, we examine whether trading intensity and portfolio growth explain the risk
and return characteristics of listed property companies. The results suggest that beating the market by pursuing tactical
asset selection and investment timing strategies is difficult even when acquiring and disposing of properties in illiquid
private property markets. When the property type in which the firm specializes is included as a control variable in the regressions,
none of the portfolio management intensity indicators developed in this paper is significantly associated with abnormal performance
or systematic risk.
相似文献
Dirk BrounenEmail: |
11.
Francis In Sangbae Kim Vijaya Marisetty Robert Faff 《Review of Quantitative Finance and Accounting》2008,31(1):55-70
We propose a new approach for investigating the performance of managed funds using wavelet analysis and apply it to an Australian
dataset. This method, applied to a multihorizon Sharpe ratio, shows that the wavelet variance at the short scale is higher
than that of the longer scale, implying that an investor with a short investment horizon has to respond to every fluctuation
in the realized returns, while for an investor with a much longer horizon, the long-run risk associated with unknown expected
returns is not as important as the short-run risk. Using multihorizon Sharpe ratios of six groups of managed funds, we find
that none of the fund groups are dominant over all time scales.
相似文献
Robert Faff (Corresponding author)Email: |
12.
Valuation of global IPOs: a stochastic frontier approach 总被引:1,自引:0,他引:1
Yue-Cheong Chan Congsheng Wu Chuck C. Y. Kwok 《Review of Quantitative Finance and Accounting》2007,29(3):267-284
This paper studies the impact of global offerings on US IPO firms’ offer price using the stochastic frontier approach. We
find that the offer price valuation efficiency for global IPOs exceeds that of IPOs with purely domestic offers by 3.1%. In
particular, the global offering approach is most appropriate to those IPO firms, which offer larger proportion of new shares
to international investors, underwritten by less prestigious investment banks and with larger firm-specific return variance.
Our findings are consistent with the demand inelasticity, certification effect and investor recognition arguments that account
for the benefits of global offering.
相似文献
Chuck C. Y. KwokEmail: |
13.
The Effect of Time-on-Market and Location on Search Costs and Anchoring: The Case of Single-Family Properties 总被引:2,自引:0,他引:2
Terrence M. Clauretie Paul D. Thistle 《The Journal of Real Estate Finance and Economics》2007,35(2):181-196
Regarding single-family residential properties purchased for investment (non-owner occupied) we examine whether out-of-state
buyers pay more than in-state buyers. We focus on the effects of search costs and anchoring. We use data on 2,828 Las Vegas
non-owner occupied (investor) residences, 40% of which are purchased by non-local investors. We find that the location of
the property affects the empirical results. Specifically, search cost and anchoring effects that appear significant when the
location of the property is ignored disappear when location is introduced as an independent variable.
相似文献
Paul D. ThistleEmail: |
14.
Home Equity,Household Savings and Consumption 总被引:1,自引:0,他引:1
The home-owning family’s equity is a piggybank that can be broken open by borrowing. Each borrowing increases liabilities
and cash equally, initially leaving net wealth unchanged. When those funds are spent and cash balances fall, consumption increases
even as net wealth can decline. In a dynamic optimization, the marginal propensity to consume from net wealth is not always
positive and can be positively correlated with housing debt.
相似文献
P. ChinloyEmail: |
15.
The Dynamic Impact of Macro Shocks on Insurance Premiums 总被引:1,自引:0,他引:1
We develop a model that investigates the relation between insurance premiums and macroeconomic variables, including oil price,
interest rate, aggregate supply, and aggregate demand. We then use a multivariate structural vector error correction model
to distinguish the effects arising from permanent and transitory components of insurance premiums. Changes in the transitory
component indicate that our model captures key historical events. Although real shocks originating from oil price and aggregate
supply explain the behavior of insurance premiums well, we show that financial market shocks are the main driving force behind
the recent increasing volatility in insurance premiums in the U.S. market.
相似文献
Ying Sophie HuangEmail: |
16.
The optimal asset allocation of the main types of pension funds: a unified framework 总被引:1,自引:0,他引:1
Katarzyna Romaniuk 《The GENEVA Risk and Insurance Review》2007,32(2):113-128
The existing literature deals with the optimal investment strategy of defined benefit (DB) or defined contribution (DC) pension
plans. This article’s objective is to compare the optimal policies of different types of pension plans. This is done by first
defining an original framework, which is based on the distinction between the nature of the guarantee—which can be internal
or external—offered by or to a pension fund. This framework allows to establish links between optimization programs of DC,
DB and targeted money purchase schemes. The case of an internal guarantee appears as a standard portfolio insurer’s problem.
The second kind of guarantee, not analyzed in the literature yet with regard to the resulting optimal policy, is characterized
by the existence of an option in the final wealth definition. Four funds are present in the internal guarantee optimal allocation:
the speculative component, the preference independent guarantee- and contribution-hedge terms and the preference dependent
state variable-hedge fund. The external guarantee program, solved with an original method using the principles of standard
options theory, yields an optimal policy incorporating the delta of the option embodied in the final wealth definition. The
conclusion is that the resulting optimal portfolio policy becomes riskier.
相似文献
Katarzyna RomaniukEmail: |
17.
This paper examines whether the mispricing of accruals documented in equity markets extends to bond markets. The paper finds
that corporate bonds of firms with high operating accruals underperform corporate bonds of firms with low operating accruals.
In the first year after portfolio formation, the underperformance is 115 basis points using an accrual measure that includes
capital investments and 93 basis points using an accrual measure that is based only on working capital investments. The Sharpe
ratios of the zero-investment bond accrual portfolios are comparable to those of the corresponding zero-investment stock accrual
portfolios. The results are also robust to risk adjustments based on both a factor model consisting of the Fama and French
(J. Financial Econ 33 (1993) 3) stock and bond market factors and a characteristics model based on bond ratings and duration. Cross-sectional Fama–MacBeth
regressions that use individual bond data and control for stock and bond issuances in addition to ratings and duration also
confirm the time-series portfolio findings. Overall, our results reveal an accrual anomaly among bonds similar to that observed
among stocks.
相似文献
Bhaskaran SwaminathanEmail: |
18.
We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation
overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications
and control variables. This finding contrasts with previous evidence that implies a positive relation between transaction
costs and price volatility, while consistent from the converse with the hypothesis proposed by Stiglitz (1989) and Summers and Summers (1989). Our results suggest that imposing higher transaction costs might still be a feasible policy tool for stabilizing the market
by curbing short-term noise trading.
相似文献
Zhen Zhu (Corresponding author)Email: |
19.
Armin Schwienbacher 《Financial Markets and Portfolio Management》2008,22(3):195-217
This article focuses on the investment practices and contract behavior of venture capitalists in relation to their portfolio
companies. Using a unique self-collected data set, we provide new evidence on the venture capital industry in Europe and the
United States. Important differences are identified between the two, particularly with respect to the use of convertible securities,
replacement of former management, stage financing, deal syndication, and duration of exit stage. The most striking difference
involves the use of convertible securities, which are used far less often in Europe than in the United States. These differences
suggest that European venture capitalists engage in less monitoring and thus adopt a more hands-off approach to their portfolio
companies as compared to US venture capitalists.
相似文献
Armin SchwienbacherEmail: Email: |
20.
Shai Levi 《Review of Accounting Studies》2008,13(1):1-21
This study investigates firms’ decisions to disclose accruals information in earnings press releases versus to provide it
only in 10-Q filings and the impact of this disclosure on the pricing of accruals. I find that firms disclose accruals in
their press releases when earnings alone are a weak indication of cash flow performance and that following these disclosures
the accruals information is fully impounded into stock prices. The evidence suggests that when investor demand for accruals
is likely to exist and firms disclose the information in earnings press releases, the mispricing typically associated with
accruals is mitigated.
相似文献
Shai LeviEmail: |