Ditapis dengan
How does size affect mutual fund behavior?
If actively managed mutual funds suffer from diminishing returns to scale, funds should alter investment behavior as assets under management increase. Although asset growth has little effect on the behavior of the typical fund, we find that large funds and small-cap funds diversify their portfolios in response to growth. Greater diversification, especially for small-cap funds, is associated wit…
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- ISBN/ISSN
- 221082
- Deskripsi Fisik
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- Judul Seri
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Trusting the stock market
We study the effect that a general lack of trust can have on stock market participation. In deciding whether to buy stocks, investors factor in the risk of being cheated. The perception of this risk is a function of the objective characteristics of the stocks and the subjective characteristics of the investor. Less trusting individuals are less likely to buy stock and, conditional on buying sto…
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- ISBN/ISSN
- 221082
- Deskripsi Fisik
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- Judul Seri
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- No. Panggil
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High-water marks: high risk appetites? convex compensation, long horizons, an…
We study the portfolio choice of hedge fund managers who are compensated by high-water mark contracts. We find that even risk-neutral managers do not place unbounded weights on risky assets, despite option-like contracts. Instead, they place a constant fraction of funds in a mean-variance efficient portfolio and the rest in the riskless asset, acting as would constant relative risk aversion (CR…
- Edisi
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- ISBN/ISSN
- 221082
- Deskripsi Fisik
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- Judul Seri
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- No. Panggil
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Portfolio choice with puts: evidence from variable annuities
This study investigated the asset allocation behavior of individuals who select an out-of-the-money long-dated longevity-put option on their investment funds. The asset allocations of these people within their variable annuity subaccounts are 5-30 percent more risky than the allocations of those who do not choose this protection. Investors who do not choose the longevity-put option follow the c…
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- ISBN/ISSN
- 0015198X
- Deskripsi Fisik
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- Judul Seri
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- No. Panggil
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Rational inattention and portfolio selection
Costly information acquisition makes it rational for investors to obtain important economic news with only limited frequency or limited accuracy. We show that this rational inattention to important news may make investors over- or underinvest. In addition, the optimal trading strategy is "myopic" with respect to future news frequency and accuracy. We find that the optimal news frequency is nonm…
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- ISBN/ISSN
- 221082
- Deskripsi Fisik
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- Judul Seri
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- No. Panggil
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Whom you know matters: venture capital networks and investment performance
Many financial markets are characterized by strong relationships and networks, rather than arm's-length, spot market transactions. We examine the performance consequences of this organizational structure in the context of relationships established when VCs syndicate portfolio company investments. We find that better-networked VC firms experience significantly better fund performance, as measure…
- Edisi
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- ISBN/ISSN
- 221082
- Deskripsi Fisik
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- Judul Seri
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- No. Panggil
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