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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...
Persistent link: https://www.econbiz.de/10014122285
We hypothesize that prestigious golf courses attract golfers and visitors from across the country, providing greater opportunities for nearby investors to build social connections. Our evidence suggests that institutional investors located near prestigious golf courses earn significantly better...
Persistent link: https://www.econbiz.de/10013004090
This paper examines the pattern of order aggressiveness, and the determinants of this pattern for institutional and retail brokers in the interval around monetary policy announcements. Utilizing a high-frequency dataset, with broker identifiers for each order submitted on the ASX over the period...
Persistent link: https://www.econbiz.de/10013005095
We develop a model linking stock ownership and returns to the distribution of private information and quality of public information. Supporting the model, we find that the firm's information environment affects investors' propensity to hold and trade its stocks, but its effects hinge on...
Persistent link: https://www.econbiz.de/10013005260
The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...
Persistent link: https://www.econbiz.de/10013006681
The success of the endowment model of investing has long been the envy of both Wall Street and Main Street investors. Despite all of the press on how to invest like an endowment, the strategy can still be a bit of a mystery for industry outsiders. To shed some light on how endowment performance...
Persistent link: https://www.econbiz.de/10012969762
The Financial Crisis of 2008/2009 increased plan sponsors' desire to control risk — and we are still seeing the unfortunate effects. Many approaches adopted to control risk are illusions of risk control. Of particular concern is how sponsors are misapplying tools designed to monitor...
Persistent link: https://www.econbiz.de/10013019258
Persistent link: https://www.econbiz.de/10013025113
We distinguish luck from skill in fund portfolios of differing activeness by applying bootstrap simulations. Bootstrapping is important as heterogeneous risk taking according to the activeness of a fund's strategies can bias standard significance tests, causing non-normalities in the...
Persistent link: https://www.econbiz.de/10013032931
Active opportunity in the market, measured by cross-sectional dispersion in stock returns, significantly influences fund performance. Active strategies have the greatest impact on returns during periods of high dispersion, when alpha produced by the most active funds significantly exceeds that...
Persistent link: https://www.econbiz.de/10013035237