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Hwang, Soosung; Salmon, Mark - C.E.P.R. Discussion Papers - 2004

We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the … factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular … sectors or styles in the market including the market index itself and critically we can also separate such herding from common …

Persistent link: https://www.econbiz.de/10005656282

Institutional Trade Persistence and Long-Term Equity Returns

Dasgupta, Amil; Prat, Andrea; Verardo, Michela - C.E.P.R. Discussion Papers - 2007

How does the trading behaviour of institutional money managers affect stock prices? In this paper we document a robust relationship between the net trade patterns of institutional money managers and long term equity returns. Examining quarterly data on US institutional holdings from 1983 to...

Persistent link: https://www.econbiz.de/10005504453

Collateralisation bubbles when investors disagree about risk

Broer, Tobias; Kero, Afroditi - C.E.P.R. Discussion Papers - 2014

Survey respondents strongly disagree about return risks and, increasingly, macroeconomic uncertainty. This may have contributed to higher asset prices through increased use of collateralisation, which allows risk-neutral investors to realise perceived gains from trade. Investors with lower risk...

Persistent link: https://www.econbiz.de/10011084220

Buffett’s Alpha

Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2013

Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to...

Persistent link: https://www.econbiz.de/10011083650

The Impact of Hedge Funds on Asset Markets

Kruttli, Mathias; Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2014

This paper provides empirical evidence of the impact of hedge funds on asset markets. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios, and show that it has strong in- and out-of-sample forecasting power for 72 portfolios of international equities, corporate...

Persistent link: https://www.econbiz.de/10011084210

Asset Management Contracts and Equilibrium Prices

Buffa, Andrea; Vayanos, Dimitri; Woolley, Paul - C.E.P.R. Discussion Papers - 2014

market upwards. They can also generate a negative relationship between risk and return because they raise the volatility of …

Persistent link: https://www.econbiz.de/10011084367

The Dynamics of Financially Constrained Arbitrage

Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2015

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing so provide liquidity to investors. A collateral...

Persistent link: https://www.econbiz.de/10011184076

A Theory of Asset Prices based on Heterogeneous Information

Albagli, Elias; Hellwig, Christian; Tsyvinski, Aleh - C.E.P.R. Discussion Papers - 2013

With only minimal restrictions on security payoffs and trader preferences, noisy aggregation of heterogeneous information drives a systematic wedge between the impact of fundamentals on the price of a security, and the corresponding impact on cash flow expectations. From an ex ante perspective,...

Persistent link: https://www.econbiz.de/10011083236

Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition

Chen, Zhihua; Lookman, Aziz; Schürhoff, Norman; Seppi, … - C.E.P.R. Discussion Papers - 2012

The 2005 inclusion of Fitch ratings in the Lehman composite index ratings provides a quasi-natural experiment to identify rating-based market segmentation in the corporate bond market. Split-rated bonds with favorable Fitch rating that were mechanically upgraded to investment-grade status...

Persistent link: https://www.econbiz.de/10011083426

Investors' horizons and the Amplification of Market Shocks

Cella, Cristina; Ellul, Andrew; Giannetti, Mariassunta - C.E.P.R. Discussion Papers - 2010

obtained after controlling for the stocks’ exposure to volatility, various firms’ and investors’ characteristics, including the …

Persistent link: https://www.econbiz.de/10008683532