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Pástor, Luboš; Stambaugh, Robert F.; Taylor, Lucian - C.E.P.R. Discussion Papers - 2014

We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of decreasing returns at the industry level: As the size of the active mutual fund industry increases, a fund's ability to outperform passive benchmarks declines. At the fund level,...

Persistent link: https://www.econbiz.de/10011083369

Predatory Trading

Brunnermeier, Markus K; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2004

This Paper studies predatory trading: trading that induces and/or exploits other investors’ need to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset. This leads to price overshooting and a reduced liquidation value for the...

Persistent link: https://www.econbiz.de/10005791996

Optimal Portfolio Allocation for Corporate Pension Funds

McCarthy, David; Miles, David K - C.E.P.R. Discussion Papers - 2007

We model the asset allocation decision of a defined benefit pension fund using a stochastic dynamic programming approach. Our model recognizes the fact that asset allocation decisions are made by trustees who are mandated to act in the best interests of beneficiaries - not by sponsoring...

Persistent link: https://www.econbiz.de/10005123770

Europe's 'New' Stock Markets

Bottazzi, Laura; Da Rin, Marco - C.E.P.R. Discussion Papers - 2002

The creation of Europe’s ‘new’ stock markets represents a major experiment in market design with important implications for the ability to support innovative, fast-growing companies. We evaluate the success of these markets based on a large number of measures of firm performance and...

Persistent link: https://www.econbiz.de/10005123860

Are Stocks Really Less Volatile in the Long Run?

Pástor, Luboš; Stambaugh, Robert F. - C.E.P.R. Discussion Papers - 2009

Conventional wisdom views stocks as less volatile over long horizons than over short horizons due to mean reversion induced by return predictability. In contrast, we find stocks are substantially more volatile over long horizons from an investor's perspective. This perspective recognizes that...

Persistent link: https://www.econbiz.de/10005662327

Preferred Risk Habitat of Individual Investors

Dorn, Daniel; Huberman, Gur - C.E.P.R. Discussion Papers - 2007

The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities … commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio … stocks are sold they are replaced by stocks of similar volatilities, and the more risk averse customers indeed hold less …

Persistent link: https://www.econbiz.de/10005067451

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

Credit Ratings as Coordination Mechanism

Boot, Arnoud W A; Milbourn, Todd - C.E.P.R. Discussion Papers - 2002

In this Paper, we provide a novel rationale for credit ratings. The rationale that we propose is that credit ratings can serve as a coordinating mechanism in situations where multiple equilibria can obtain. We show that credit ratings provide a ‘focal point’ for firms and their investors. We...

Persistent link: https://www.econbiz.de/10005504472

Pension Fund Governance and the Choice Between Defined Benefit and Defined Contribution Plans

Besley, Timothy J.; Prat, Andrea - C.E.P.R. Discussion Papers - 2003

plans. The present Paper uses contract theory to analyse the interplay of residual claims and control rights in private …. Under complete contracting, governance can be shown to be neutral: DC and DB plans differ only on risk allocation. If …

Persistent link: https://www.econbiz.de/10005497828

Local Ownership as Private Information: Evidence on the Monitoring-Liquidity Trade-Off

Gaspar, José-Miguel; Massa, Massimo - C.E.P.R. Discussion Papers - 2004

This Paper investigates the impact of ownership patterns on the way the firm is monitored, on the liquidity of its shares, and on its stock price. Building on the literature showing that local mutual funds (funds holding geographically close firms) enjoy superior returns due to private...

Persistent link: https://www.econbiz.de/10005497985