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We study compensation contracts of individual portfolio managers using hand‐collected data of over 4,500 U.S. mutual funds. Variations in the compensation structures are broadly consistent with an optimal contracting equilibrium. The likelihood of explicit performance‐based incentives is positively correlated with the intensity of agency conflicts, as proxied by the advisor's clientele dispersion, its affiliations in the financial industry, and its ownership structure. Investor sophistication and the threat of dismissal in outsourced funds serve as substitutes for explicit performance‐based incentives. Finally, we find little evidence of differences in future performance associated with any particular compensation arrangement. 相似文献
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PEDRO GETE 《Journal of Money, Credit and Banking》2015,47(Z1):257-260
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MICHAEL BLEANEY RICARDO GOTTSCHALK DESIREE DESIERTO PEDRO MONCARZ 《The World Economy》2006,29(8):1151-1155
Official Reserves and Currency Management in Asia: Myth, Reality and the Future: Geneva Reports on the World Economy 7 by HANS GENBERG, ROBERT McCAULEY, YUNG CHUL PARK and AVINASH PERSAUD (London: Centre for Economic Policy Research, 2005), pp. 128, £25.00 paperback, ISBN 1 898128 90 1. Growth, Inequality and Poverty: Prospects for Pro‐Poor Economic Development by ANTHONY SHORROCKS and ROLPH VAN DER HOEVEN (eds.) (Oxford: Oxford University Press, 2005), pp. 283, paperback, ISBN 0 19 928824 2. Competition and Growth: Reconciling Theory and Evidence by PHILIPPE AGHION and RACHEL GRIFFITH (Cambridge, MA: MIT Press, 2005), pp. 104, £18.50 hardback, ISBN 0 262 01218 9. The World Trade Organization. A Very Short Introduction by AMRITA NARLIKAR (Oxford: Oxford University Press, 2005), pp. 175, £6.99, paperback, ISBN 0 19 280608 4. 相似文献
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Dynamic Portfolio Selection by Augmenting the Asset Space 总被引:1,自引:0,他引:1
We present a novel approach to dynamic portfolio selection that is as easy to implement as the static Markowitz paradigm. We expand the set of assets to include mechanically managed portfolios and optimize statically in this extended asset space. We consider “conditional” portfolios, which invest in each asset an amount proportional to conditioning variables, and “timing” portfolios, which invest in each asset for a single period and in the risk‐free asset for all other periods. The static choice of these managed portfolios represents a dynamic strategy that closely approximates the optimal dynamic strategy for horizons up to 5 years. 相似文献
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We investigate whether mutual fund families strategically transfer performance across member funds to favor those more likely to increase overall family profits. We find that “high family value” funds (i.e., high fees or high past performers) overperform at the expense of “low value” funds. Such a performance gap is above the one existing between similar funds not affiliated with the same family. Better allocations of underpriced initial public offering deals and opposite trades across member funds partly explain why high value funds overperform. Our findings highlight how the family organization prevalent in the mutual fund industry generates distortions in delegated asset management. 相似文献
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PEDRO LEÃO 《International Review of Applied Economics》2005,19(1):119-135
The velocity of money usually rises in expansions and falls in recessions This paper explains this pro‐cyclical movement of velocity using two ideas: (i) during business cycles the movement of investment and consumption of durable goods has a larger amplitude than consumption of non‐durable goods and services; (ii) the velocity associated with expenditure on investment and durable goods is much higher than the velocity associated with consumption of non‐durable goods and services, because the former expenditures are synchronized with the attainment of money by economic agents whereas the latter are not. In this setting, the rise in the weight of expenditure in durable goods relative to the weight of non‐durable goods and services, which occurs during expansions, generates an increase in the average velocity of circulation. The opposite happens during recessions and thus velocity moves pro‐cyclically. 相似文献
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We present a model of credit cycles arising from diagnostic expectations—a belief formation mechanism based on Kahneman and Tversky's representativeness heuristic. Diagnostic expectations overweight future outcomes that become more likely in light of incoming data. The expectations formation rule is forward looking and depends on the underlying stochastic process, and thus is immune to the Lucas critique. Diagnostic expectations reconcile extrapolation and neglect of risk in a unified framework. In our model, credit spreads are excessively volatile, overreact to news, and are subject to predictable reversals. These dynamics can account for several features of credit cycles and macroeconomic volatility. 相似文献
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PEDRO GOMIS-PORQUERAS 《Journal of Money, Credit and Banking》2020,52(1):229-267
We study the impact of fiscal policies on the inherent links between inflation, unemployment, and asset prices in an environment where firms provide liquidity and the central bank follows a constant money growth rate rule. Firms, other than hiring workers, also supply private assets that are not only useful as a store of value but also as collateral. When firms are not taxed and public debt is scarce, the economy is non-Ricardian so that real indeterminacies can be observed. Moreover, labor market characteristics do not affect the demand for government liabilities. However, when agents face public and private asset scarcity, labor market conditions then impact asset prices and inflation. We further show that irrespective of the type of asset scarcity agents face, when firms are taxed non-ad valorem, not only the level of tax revenues but also its composition matter for real allocations. Moreover, we show that labor market conditions directly affect the dynamics of all government liabilities and inflation. 相似文献
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The Role of Institutional Investors in Voting: Evidence from the Securities Lending Market 下载免费PDF全文
This paper investigates voting preferences of institutional investors using the unique setting of the securities lending market. Investors restrict lendable supply and/or recall loaned shares prior to the proxy record date to exercise voting rights. Recall is higher for investors with greater incentives to monitor, for firms with poor performance or weak governance, and for proposals where returns to governance are likely higher. At the subsequent vote, recall is associated with less support for management and more support for shareholder proposals. Our results indicate that institutions value their vote and use the proxy process to affect corporate governance. 相似文献