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On the Role of Arbitrageurs in Rational Markets
Basak, Suleyman; Croitoru, Benjamin - C.E.P.R. Discussion Papers - 2004
Price discrepancies, although at odds with mainstream finance, are persistent phenomena in financial markets. These apparent mispricings lead to the presence of ‘arbitrageurs’, who aim to exploit the resulting profit opportunities, but whose role remains controversial. This article...
Persistent link: https://www.econbiz.de/10005123691
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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
financial development has important consequences for the efficiency and specialization (or diversification) of investments, in a …
Persistent link: https://www.econbiz.de/10005504526
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Country and Industry Dynamics in Stock Returns
Catão, Luis A. V.; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004
An important question in international finance is to what extent stock return volatility is influenced by country location, industry affiliation, and global factors. This Paper develops a new methodology to measure these effects, in which portfolios mimicking ‘pure’ country and industry...
Persistent link: https://www.econbiz.de/10005067673
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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
that financial development has important consequences for efficiency and specialization (or diversification) of investments …
Persistent link: https://www.econbiz.de/10005662195
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Home Bias at the Fund Level
Hau, Harald; Rey, Hélène - C.E.P.R. Discussion Papers - 2008
This paper presents new stylized facts on the distribution of the home bias at the fund level. We find (i) a large heterogeneity in the degree of home bias across mutual funds; (ii) a positive correlation between the size of funds and home bias; and (iii) a positive correlation between the size...
Persistent link: https://www.econbiz.de/10005791444
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Aggregate Idiosyncratic Volatility
Bekaert, Geert; Hodrick, Robert J; Zhang, Xiaoyan - C.E.P.R. Discussion Papers - 2010
portfolio diversification, return volatility and contagion. …
Persistent link: https://www.econbiz.de/10008784734
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Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification
Boyle, Phelim; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - C.E.P.R. Discussion Papers - 2010
We develop a model of portfolio choice to nest the views of Keynes - who advocates concentration in a few familiar … assets - and Markowitz - who advocates diversification across assets. We rely on the concepts of ambiguity and ambiguity … in correlation between assets causes an investor to increase concentration in the assets with which they are familiar …
Persistent link: https://www.econbiz.de/10008468537
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When Everyone Runs for the Exit
Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2009
The dangers of shouting ``fire'' in a crowded theater are well understood, but the dangers of rushing to the exit in the financial markets are more complex. Yet, the two events share several features, and I analyze why people crowd into theaters and trades, why they run, what determines the...
Persistent link: https://www.econbiz.de/10005082543
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Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management
Basak, Suleyman; Pavlova, Anna; Shapiro, Alex - C.E.P.R. Discussion Papers - 2005
Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk...
Persistent link: https://www.econbiz.de/10005666418
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Optimal Asset Allocation and Risk Shifting in Money Management
Basak, Suleyman; Pavlova, Anna; Shapiro, Alex - C.E.P.R. Discussion Papers - 2006
Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk...
Persistent link: https://www.econbiz.de/10005666676