Fund Manager Use Of Public Information PDF Download
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Author | : Marcin T. Kacperczyk |
Publisher | : |
Total Pages | : 58 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download Fund Manager Use of Public Information Book in PDF, ePub and Kindle
We propose a simple model that relates skills of a fund manager to his reliance on public information -- the main implication being that the sensitivity of a manager's holdings to changes in public information decreases in his skill level. We estimate this sensitivity (RPI) as the R^2 of the regression of changes in a manager's portfolio holdings on changes in analysts' past recommendations using a large panel of U.S. equity funds for the period 1993 to 2002. Consistent with RPI containing information related to managerial skills, we find a strong inverse relationship between RPI and various existing measures of performance. These findings strengthen the interpretation of traditional performance measures as indeed reflecting skills in that managers who produce high values of these measures also have low RPI. Besides, we find that RPI contains information on managerial skills that may not be precisely reflected in traditional performance measures since flows from outside investors chase low-RPI funds, controlling for past fund performance. Our results are robust to different macro-economic variables, various information sets, information spillovers among stocks in the fund's portfolio, fund style, fund size, and fund turnover. In contrast to existing studies, we also document a significant role of manager-specificattributes in explaining performance.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 1994 |
Genre | : |
ISBN | : |
Download Profile of the Fund Manager Book in PDF, ePub and Kindle
Author | : G.V. Satya Sekhar |
Publisher | : Springer |
Total Pages | : 182 |
Release | : 2016-11-12 |
Genre | : Business & Economics |
ISBN | : 331934000X |
Download The Management of Mutual Funds Book in PDF, ePub and Kindle
This book provides insight into the multi-dimensional process of coordinating and supervising mutual funds. This book focuses on the management of mutual funds within financial markets, with an emphasis on how corporate governance and benchmarking influence asset and portfolio management. Chapters explore four important aspects of this process in particular detail: corporate governance, benchmarking, asset management and portfolio management. The author shows that the mutual fund industry provides wider access to payment systems and to a savings safety-net that operates similarly to deposit insurance. Furthermore, he demonstrates that the Indian government’s focus is on establishing the right of every person to have access to affordable basic financial services offered by banks and non-banks.
Author | : Mary Margaret Myers |
Publisher | : |
Total Pages | : 31 |
Release | : 2001 |
Genre | : Disclosure in accounting |
ISBN | : |
Download Copycat Funds Book in PDF, ePub and Kindle
Mutual funds must disclose their portfolio holdings to investors semiannually. The costs and benefits of such disclosures are a long-standing subject of debate. For actively managed funds, one cost of disclosure is a potential reduction in the private benefits from research on asset values. Disclosure provides public access to information on the assets that the fund manager views as undervalued. This paper tries to quantify this potential cost of disclosure by testing whether 'copycat' mutual funds, funds that purchase the same assets as actively-managed funds as soon as those asset holdings are disclosed, can earn returns that are similar to those of the actively-managed funds. Copycat funds do not incur the research expenses associated with the actively-managed funds that they are mimicking opportunity to invest in assets that managers identify as positive return opportunities between disclosure dates. Our results for a limited sample of high expense funds in the 1990s suggest that while returns before expenses are significantly higher for the underlying actively managed funds relative to the copycat funds, after expenses copycat funds earn statistically indistinguishable, and possibly higher, returns than the underlying actively managed funds. These findings contribute to the policy debate on the optimal level and frequency of fund disclosure
Author | : Laura L. Veldkamp |
Publisher | : Princeton University Press |
Total Pages | : 184 |
Release | : 2023-03-07 |
Genre | : Business & Economics |
ISBN | : 0691248095 |
Download Information Choice in Macroeconomics and Finance Book in PDF, ePub and Kindle
An authoritative graduate textbook on information choice, an exciting frontier of research in economics and finance Most theories in economics and finance predict what people will do, given what they know about the world around them. But what do people know about their environments? The study of information choice seeks to answer this question, explaining why economic players know what they know—and how the information they have affects collective outcomes. Instead of assuming what people do or don't know, information choice asks what people would choose to know. Then it predicts what, given that information, they would choose to do. In this textbook, Laura Veldkamp introduces graduate students in economics and finance to this important new research. The book illustrates how information choice is used to answer questions in monetary economics, portfolio choice theory, business cycle theory, international finance, asset pricing, and other areas. It shows how to build and test applied theory models with information frictions. And it covers recent work on topics such as rational inattention, information markets, and strategic games with heterogeneous information. Illustrates how information choice is used to answer questions in monetary economics, portfolio choice theory, business cycle theory, international finance, asset pricing, and other areas Teaches how to build and test applied theory models with information frictions Covers recent research on topics such as rational inattention, information markets, and strategic games with heterogeneous information
Author | : Ann C. Logue |
Publisher | : John Wiley & Sons |
Total Pages | : 364 |
Release | : 2011-03-01 |
Genre | : Business & Economics |
ISBN | : 1118050924 |
Download Hedge Funds For Dummies Book in PDF, ePub and Kindle
If you want to diversify your portfolio and lower your risk exposure with hedge funds, here’s what you should know: Hedge Funds For Dummies explains all the different types of funds, explores the pros and cons of funds as an investment, shows you how to find a good broker, and much more. Authored by Ann Logue, a financial writer and hedge fund specialist, this handy, friendly guide covers all the bases for investors of all levels. Whether you’re just building your first portfolio or you’ve been investing for years, you’ll find everything you need to know inside: What a hedge fund is and what it does How hedge funds are structured Determining whether a hedge fund is right for your portfolio Calculating investment risk and return Short- and long-term tax issues Developing a hedge fund investment strategy Monitoring and profiting on macroeconomic trends Evaluating fund performance Evaluating hedge fund management If you’re investing for the future, you definitely want to minimize your risk and maximize your returns. A balanced portfolio with hedge funds is one of the best ways to achieve that sort of balance. This book walks you step by step through the process of evaluating and choosing funds, incorporating them into your portfolio in the right amounts, and making sure they give you the returns you expect and deserve. You’ll learn all the ins and outs of funds, including: What kind of fees you should expect to pay Picking a hedge fund advisor or broker Fulfilling paperwork and purchasing requirements Performing technical analysis and reading the data How to withdraw funds and handle the taxes Tracking fund performance yourself or through reporting services Hedge fund strategies for smaller portfolios Performing due diligence on funds that interest you This friendly, to-the-point resource includes information you can’t do without, including sample portfolios that show you how to invest wisely. Hedge funds are an important part of every balanced portfolio, and this friendly guide tells how to use them to your best advantage. With important resources, vital information, and commonsense advice, Hedge Funds For Dummies is the perfect resource for every investor interested in hedge funds.
Author | : Peter Lückoff |
Publisher | : Springer Science & Business Media |
Total Pages | : 604 |
Release | : 2011-01-22 |
Genre | : Business & Economics |
ISBN | : 3834965278 |
Download Mutual Fund Performance and Performance Persistence Book in PDF, ePub and Kindle
Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
Author | : Nikola Jelicic |
Publisher | : diplom.de |
Total Pages | : 101 |
Release | : 2010-03-30 |
Genre | : Business & Economics |
ISBN | : 3836644487 |
Download Dynamic strategy and performance of german equity and bond mutual funds Book in PDF, ePub and Kindle
Inhaltsangabe:Introduction: Measuring performance of fund managers is a topic equally interesting to practitioners and researchers. Most common performance measures rely on the assumption of constant risk during the entire evaluation period. The measure of risk is the beta from the Capital Asset Pricing Model (CAPM). In order to better assess a manager s investment ability, additional factors could be employed to capture the different sources of risk. The manager owes each portion of the achieved return to a certain risk factor. The risks a manager is running can be summed up to form his personal benchmark, which thus reflects the investment style. Still, the exposures to the included risk factors are assumed to be constant. The dynamics of the capital markets had not been captured by the prevailing performance measures before an approach that controlled for varying economic conditions was suggested. Models that are based on this approach deliver a beta conditional on the market state. The manager s exposure to the risk of the own benchmark was thus allowed to vary in time. Consequently, the search for indicators of the market states was launched and a model framework which could accommodate the chosen indicators as part of the benchmark had to be chosen. Two model frameworks emerged and a couple of indicators established themselves as standard. This study largely follows the approach of Ferson and Schadt. They introduced a linear model that can be perceived as a conditional version of the CAPM. The aim of this study is not only to obtain performance measures which result from the conditional models. Since the variation in the exposure to market risk is accounted for, one who employs conditional models gains insight into fund manager s trading. If the trading is reflected in changes of the beta, then inference on fund strategy is made possible even though information on the portfolio structure is not provided. The explanatory power of a conditional model depends on the researcher selecting a representative benchmark for the funds in the sample and indicators of economic conditions that fund managers rely on in reality. The structure of this paper is the following: chapter 2 builds the theoretical foundation of conditional models and presents their two forms; chapter 3 relates this study to previous literature in the area; chapter 4 employs conditional models to evaluate strategies and performance of German fund managers; chapter 5 sums up the [...]
Author | : Bill B. Francis |
Publisher | : |
Total Pages | : 52 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download Do Fund Managers Use Private Information in Their Asset Allocation Decisions? Evidence from Macroeconomic Announcements Book in PDF, ePub and Kindle
We ask whether fund managers use private information about forthcoming macroeconomic announcements in their asset allocation decisions and whether those that more aggressively use this information outperform those that do not. We present the first evidence that fund managers possess and actively use private information about forthcoming macroeconomic announcements. Specifically, the net asset values (NAVs) of hybrid funds respond strongly to the surprises in macroeconomic announcements and there is a distinct asymmetry in the response to positive and negative surprises. More important, the average fund manager engages in significant reallocation across asset classes in the two days before and (partly) reverses his trades in the two days after a large number of announcements. Further, managers that hold a greater proportion of their funds in stocks and make greater efforts to time the stock market using private information about the macroeconomic announcements earn over 400 basis points higher return per year. The opposite holds for those that hold more cash. Finally, funds that more aggressively attempt to time the market using private information tend to have higher turnover and expense ratios, which are related to a greater marginal product.
Author | : Melissa Lin |
Publisher | : |
Total Pages | : 55 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Mutual Funds and Information Diffusion Book in PDF, ePub and Kindle
We hypothesize that poor country-level governance, which makes public information less reliable, induces fund managers to increase their use of semi-public information. Utilizing data from international mutual funds and stocks over the 2000-2009 period, we find that semi-public information-related stock rebalancing can be five times higher in countries with the worst quality of governance than in countries with the best. The use of semi-public information increases price informativeness but also increases information asymmetry and reduces stock liquidity. It also intensifies the price impact and liquidity crunch during the recent global financial crisis.