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Faced with historically low interest rates, investors are looking further into illiquid assets such as infrastructure … analyzes the key performance and risk characteristics of the EDHECinfra global unlisted infrastructure equity index when … compared to the main global listed infrastructure indices during the 2001-2018 period. The descriptive statistics method is …
Persistent link: https://www.econbiz.de/10012105600
infrastructure investments, however, there is a relatively short history of empirical data. There is also a paucity of research in … regards to the application of finance theory and how it relates to infrastructure investments. This research employs a … procedure that constructs monthly U.S. infrastructure returns over the long-term from 1927 to 2010. We employ the Carhart (1997 …
Persistent link: https://www.econbiz.de/10013121305
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This paper proposes a model of asset-market equilibrium with portfolio delegation and optimal fee contracts. Fund managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through fee contracts. In equilibrium, their investment...
Persistent link: https://www.econbiz.de/10011293478
We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with econometric forecasting models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly sensitive to...
Persistent link: https://www.econbiz.de/10010471775
Taking a firm's competitive position into account benefits investors who are better at evaluating this qualitative information. I find that fund managers who overweight companies with market power outperform their peers. Placebo exercises and an exogenous shock to product market competition...
Persistent link: https://www.econbiz.de/10012414777
Taking a firm’s competitive position into account benefits investors who are better at evaluating this qualitative information. I find that fund managers who overweight companies withmarket power outperform their peers. Placebo exercises and an exogenous shock to productmarket competition...
Persistent link: https://www.econbiz.de/10012429433
I study the market for lending and borrowing securities in the United States. I find that by making securities available for borrowing, mutual funds acquire information about short selling, which they exploit for trading. Funds with discretion in their investment choices rebalance their...
Persistent link: https://www.econbiz.de/10012311898
In this paper, we develop characteristic-based asset-pricing models for international stocks. We price stocks using passive portfolios created based on observable characteristics: market capitalization, book-to-market, prior-year return, growth of total assets, and operating profitability, each...
Persistent link: https://www.econbiz.de/10012387428