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Are Retail Traders Compensated for Providing Liquidity?

Barrot, Jean-Noël; Kaniel, Ron; Sraer, David - C.E.P.R. Discussion Papers - 2014

uncertainty. Despite this high aggregate performance, individual investors do not reap the rewards from liquidity provision …

Persistent link: https://www.econbiz.de/10011096103

Spot and Forward Volatility in Foreign Exchange

Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - C.E.P.R. Discussion Papers - 2010

This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward...

Persistent link: https://www.econbiz.de/10008553071

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

Liquidity Risk, Leverage and Long-Run IPO Returns

Eckbo, B Espen; Norli, Øyvind - C.E.P.R. Discussion Papers - 2005

We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand Nasdaq initial public offering (IPO) stocks are bought and held for up to five years. The average long-run portfolio return is low, but IPO stocks appear as ‘longshots’, as...

Persistent link: https://www.econbiz.de/10005124287

Momentum and Turnover: Evidence from the German Stock Market

Glaser, Markus; Weber, Martin - C.E.P.R. Discussion Papers - 2002

This Paper analyses the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to 12 months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German...

Persistent link: https://www.econbiz.de/10005136650

Do Funds Make More When They Trade More?

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

to scale, we find evidence of industry-level decreasing returns: The positive turnover-performance relation weakens when …

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

Persistence, Performance and Prices in Foreign Exchange Markets

Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2006

Using detailed data on currency transactions of institutional investors, this paper shows that funds that experience high returns on their currency holdings also execute currency trades at more favourable prices. This observation is consistent with foreign exchange dealers bidding for...

Persistent link: https://www.econbiz.de/10005788969

Advertising and Mutual Funds: From Families to Individual Funds

Gallaher, Steven; Kaniel, Ron; Starks, Laura T - C.E.P.R. Discussion Papers - 2015

-advertising families. At the family level, flows have a convex relation with advertising expenditures, similar to that for performance … redemptions rather than increasing purchases of fund shares. We further find that advertising can affect the fund’s flow-performance …

Persistent link: https://www.econbiz.de/10011145467

Hedge Funds: Performance, Risk and Capital Formation

Fung, William; Hsieh, David A; Naik, Narayan; … - C.E.P.R. Discussion Papers - 2006

We use a comprehensive dataset of Funds-of-Hedge-Funds (FoFs) to investigate performance, risk and capital formation in … superior performance over time. In keeping with this implication, we provide evidence that even successful hedge funds have … experienced a recent, dramatic decline in risk-adjusted performance. …

Persistent link: https://www.econbiz.de/10005792343

Risk Sharing and Industrial Specialization: Regional and International Evidence

Sørensen, Bent E; Yosha, Oved - C.E.P.R. Discussion Papers - 1999

We provide empirical evidence that risk sharing enhances specialization in production. To the best of our knowledge, this well-established and important theoretical proposition has not been tested before. Our empirical procedure is summarized as follows. First, we construct a measure of...

Persistent link: https://www.econbiz.de/10005504254