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Finance and Efficiency: Do Bank Branching Regulations Matter?

Acharya, Viral V; Imbs, Jean; Sturgess, Jason - C.E.P.R. Discussion Papers - 2007

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States. On the basis of observed growth in sectoral value added output, we calculate for each state the efficient frontier for investments in the real economy, the efficient Sharpe...

Persistent link: https://www.econbiz.de/10005504526

Measuring and Modelling Variation in the Risk-Return Trade-off

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001

Are excess stock market returns predictable over time and, if so, at what horizons and with which economic indicators? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk change over time? This chapter reviews what is known...

Persistent link: https://www.econbiz.de/10005498159

Forecasting Stock Returns under Economic Constraints

Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2013

We propose a new approach to imposing economic constraints on time-series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We...

Persistent link: https://www.econbiz.de/10011083895

Finance and Efficiency: Do Bank Branching Regulations Matter?

Acharya, Viral V; Imbs, Jean; Sturgess, Jason - C.E.P.R. Discussion Papers - 2007

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States. On the basis of observed growth in sectoral value-added output, we calculate for each state the efficient frontier for investments in the real economy. We study how rapidly...

Persistent link: https://www.econbiz.de/10005662195

Performance Measures for Dynamic Portfolio Management

Nielsen, Lars Tyge; Vassalou, Maria - C.E.P.R. Discussion Papers - 1998

This paper proposes instantaneous versions of the Sharpe ratio and Jensen’s alpha as performance measures for managed portfolios. Both are derived from optimal portfolio selection theory in a dynamic model. The instantaneous Sharpe ratio equals the discrete Sharpe ratio plus half of the...

Persistent link: https://www.econbiz.de/10005666483

Manipulation of Metals Futures: Lessons from Sumitomo

Gilbert, Christopher L - C.E.P.R. Discussion Papers - 1997

the world copper market, from at least 1991 until earlier this year. This manipulation has concentrated attention on the … manipulation is not illegal under UK financial services regulation, but that in any case, deterrence is better than prosecution …. Manipulation will be best deterred by greater transparency, in particular through mandatory reporting of client positions to …

Persistent link: https://www.econbiz.de/10005662332

Dynamic Incentive Accounts

Edmans, Alex; Gabaix, Xavier; Sadzik, Tomasz; Sannikov, … - C.E.P.R. Discussion Papers - 2009

through both productive effort and costly manipulation, and may undo the contract by privately saving. The optimal contract …

Persistent link: https://www.econbiz.de/10008477185

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

Change You Can Believe In? Hedge Fund Data Revisions

Patton, Andrew J; Ramadorai, Tarun; Streatfield, Michael - C.E.P.R. Discussion Papers - 2012

We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly available hedge fund databases. Tracking changes to statements of historical performance recorded at different points in time between 2007 and 2011, we find that historical returns...

Persistent link: https://www.econbiz.de/10011084298

Why is hedge fund activism procyclical?

Burkart, Mike; Dasgupta, Amil - C.E.P.R. Discussion Papers - 2013

We provide a theoretical model to explain the procyclicality of hedge fund activism. In our model, hedge funds which compete to retain investor flows excessively increase the net leverage of target firms in order to deliver high short-term payouts and signal their ability. Such excessive...

Persistent link: https://www.econbiz.de/10011084491