Are momentum traders different? Implications for the momentum puzzle

This article examines the puzzlingly high unexploited momentum returns from a new perspective. We analyse characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are ‘defined’ by their short-term horizon, by a behavioural view on the market and by a somewhat lower degree of risk aversion, whereas they are like other fund managers with respect to sophistication. This is consistent with the interpretation that momentum returns may compensate for the risk of momentum trading on short-term horizons and that the short-term oriented momentum traders are not in a position to perform long-term arbitrage.     

A note on testing instrument validity for the identification of LATE

In this paper, we show that the testable implications derived in Huber and Mellace (Rev Econ Stat 97:398, 2015) are the best possible to detect invalid instruments in the presence of heterogeneous treatment effects and endogeneity. We also provide formal proof of the fact that those testable implications are only necessary, but not sufficient, conditions for instrument validity.     

Eine Konzeption zum Regulierungsmanagement im Kontext der Anreizregulierung

Strategic decisions of network operators are directly and indirectly affected by the current regulatory environment. Representing an important political and legal influence factor, the regulatory environment must be taken into account in the strategic decision-making process. Dealing with this factor is essential for an unbundled network operator, who’s main source of income is its grid access fee. Therefore, a comprehensive evaluation of the regulatory environment is indispensable for the success of network operators. This task should be handled by a department for regulatory management. However, as regulatory management is not clearly defined in business research, the present article intends to close this gap and develop a design for implementing a department for regulatory management. Our findings contribute to a better understanding of managerial behaviour under regulatory constraints. As part of our design, environmental analysis serves as an example to point out the specific challenges in regulated markets.     

Controllers’ use of informational tactics

Controllers typically have a ‘dual accountability’ towards the finance function and operational management, respectively. This dual accountability at times confronts them with conflicting expectations. In this paper, we suggest that ‘informational tactics’ constitute an important resource which controllers rely on so as to handle these expectations and to successfully present themselves vis-à-vis their different internal stakeholders. Drawing upon interview data, we demonstrate that informational tactics relate to different dimensions of information control (i.e. ‘when’, ‘how’ and ‘what’ information is to be exchanged) and that they depend on the respective room for manoeuvre a controller has in a given situation. Overall, our analysis adds a more nuanced picture to the literature on controllers’ handling of information and demonstrates the fundamental role of informational tactics for their everyday work.     

Accountability in an agency model: Project selection,effort incentives,and contract design*

We analyze an agency model of project choice and implementation where the agent is held accountable for his performance. We show that implementation of the ex ante efficient project may be impossible, irrespective of how the principal sets fixed wage and bonus rate. If it is possible, the principal may be forced to increase the bonus rate above the optimal project‐specific rate. The higher profit share compensates the agent for pressure he faces when he has to justify/explain his performance.     

Kohleausstieg 2030 unter neuen Vorzeichen

Wirtschaftsdienst - Der russische Angriff auf die Ukraine und die Abhängigkeit der deutschen Energiewirtschaft von russischem Gas führen aktuell zu einer sehr angespannten...     

DO WOMEN MANAGE SMALLER FUNDS?

Based on a sample of 467 asset managers from four countries we robustly find that women manage smaller funds than men, despite tough competition in this industry. Interestingly, the gender gap exists only for managers of smaller funds, i.e. at the lower end of the hierarchy, as quantile regressions show. This is inconsistent with the glass ceiling hypothesis. Going further, this gender gap is limited to large firms. Explanations may refer to large firms using market power in the area of smaller funds or to ‘visibility’ among top asset managers protecting against unequal treatment of the sexes.     

Smart predictors in the heterogeneous agent model

We extend the original heterogeneous agent model by introducing the concept of smart traders. The idea of smart traders is based on the endeavor of market agents to estimate future price movements. The main result of the simulations is that the probability distribution functions of the price deviations change significantly with an increasing number of smart traders in the model. We also find that the Hurst exponent is significantly increasing with an increasing number of smart traders in the simulations. Hence the introduction of the smart traders concept into the model results in significantly higher persistence of the simulated price deviations.