I compare the timing of information acquisition among institutional investors and sell-side analysts, and I show that hedge fund trades predict the direction of subsequent analyst ratings change reports while other investors' trades do not. In addition, hedge funds reverse trades after analyst...

The outlook for the U.S. Social Security system is poor. Benefit schedules that assure solvency probably require (1) politicians to give up power they are unwilling to give up, and (2) workers to contribute more of their future production than they are willing to. In contrast, the outlook for...

The usefulness of economic value added (EVA) in forecasting stock performance has been widely debated, and there is much disagreement. This paper examines empirically whether a high adjusted EVA, both scaled by market capitalization, can produce excess stock returns. We find that the...

Risk-neutral valuation is used to value a portfolio and decompose it into the components accruing to its stakeholders. The analysis incorporates managers' expected performance and contract renewal issues. A managed portfolio's economic value is shown to differ from its net asset value. A better...

We use risk-neutral valuation to value a portfolio and decompose the value into the components accruing to its stakeholders - service providers, portfolio managers, and the owners. The analysis incorporates managers' expected performance and contract-renewal issues. It provides a paradigm for...

Ferguson and Leistikow [(1997). Journal of Financial Engineering 6, 1–30] (FLa) was the first long-run risk-neutral analysis of the performance volatility incentives created by investment management fee structures. This paper extends FLa in six ways. It allows the portfolio's value to change,...

The insurance business is fraught with problems for which, in many insurance lines, a solution that is acceptable to consumers and leaves the insurance business viable is not likely. We analyze the factors that create this situation. Consumers often view economically viable premiums as too high....

Recent studies highlight positive effect of political connections on firm performance and stock returns. This paper shows that the positive effect of political connections on the cross-sectional stock returns disappears in the lame duck presidency period, defined as the last two years before the...

Dutch Abstract: Marktwaarde gewogen indexen mogen zich al jaren in grote belangstelling verheugen. Doordat actief beheerde aandelenmandaten regelmatig teleurstelden, gaven steeds meer professionele en particuliere beleggers de voorkeur aan goedkope beleggingsproducten die de traditionele,...

Doubts are rising whether bond indices, in the way they are constructed, are effective in their role of representing the markets they are designed for. Since index constituents are defined on market shares – the larger the debt obligation, the larger the share in the index – it may be that...