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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

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

? 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 about the time-series evolution of the risk-return tradeoff for stock … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the …

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

risk of selecting a poor forecasting model, and improve both statistical and economic measures of out-of-sample forecast …

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

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

Scale and Skill in Active Management

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

Why Do Institutional Investors Chase Return Trends?

Alt, Aydogan; Kaniel, Ron; Yoeli, Uzi - C.E.P.R. Discussion Papers - 2012

We propose and test a simple explanation for institutional investors’ tendency to chase return trends. When investors face uncertainty about the precision of their private information, they wait for subsequent confirming news before establishing stock positions. While such news impact the...

Persistent link: https://www.econbiz.de/10011083728

Do Funds Make More When They Trade More?

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

We find that active mutual funds perform better after trading more. This time-series relation between a fund’s turnover and its subsequent benchmarkadjusted return is especially strong for small, high-fee funds. These results are consistent with high-fee funds having greater skill to identify...

Persistent link: https://www.econbiz.de/10011083863

Real Effects of Stock Underpricing

Hau, Harald; Lai, Sandy - C.E.P.R. Discussion Papers - 2012

This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire sales by distressed equity funds during the 2007-2009 financial crisis to identify substantial exogenous underpricing. Firms whose stocks are most underpriced have considerably...

Persistent link: https://www.econbiz.de/10011084351