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Fund Managers Career Concerns And Asset Price Volatility
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Book Synopsis Fund Managers, Career Concerns, and Asset Price Volatility by : Veronica Guerrieri
Download or read book Fund Managers, Career Concerns, and Asset Price Volatility written by Veronica Guerrieri and published by DIANE Publishing. This book was released on 2011 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a print on demand edition of a hard to find publication. Proposes a general equilibrium model where investors hire fund managers (FM) to invest their capital either in a risky bond or in a riskless asset. There is a small fraction of informed FM with superior info. on the default probability. Looking at the past performance, investors update their beliefs on the info. of their FM and make hiring and firing decisions. This leads to career concerns which affect the investment decision of un-informed FM, generating a ¿reputational premium¿. When the default probability is high enough, un-informed FM prefer to invest in the riskless asset to reduce the probability of being fired. On the contrary, if the probability of default is low enough, investing in the risky bonds has a reputational advantage and the premium is negative.
Book Synopsis Fund Managers, Career Concerns, and Asset Price Volatility by : Veronica Guerrieri
Download or read book Fund Managers, Career Concerns, and Asset Price Volatility written by Veronica Guerrieri and published by . This book was released on 2009 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: We propose a model where investors hire fund managers to invest either in risky bonds or in riskless assets. Some managers have superior information on the default probability. Looking at the past performance, investors update beliefs on their managers and make firing decisions. This leads to career concerns which affect investment decisions, generating a positive or negative "reputational premium". For example, when the default probability is high, uninformed managers prefer to invest in riskless assets to reduce the probability of being fired. As the economic and financial conditions change, the reputational premium amplifies the reaction of prices and capital flows.
Book Synopsis Fund Managers, Career Concerns, and Asset Price Volatility by :
Download or read book Fund Managers, Career Concerns, and Asset Price Volatility written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Career Concerns of Mutual Fund Managers by : Judith A. Chevalier
Download or read book Career Concerns of Mutual Fund Managers written by Judith A. Chevalier and published by . This book was released on 1998 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the labor market for mutual fund managers and managers' responses to the implicit incentives created by their career concerns. We find that managerial turnover is sensitie to a fund's recent performance. Consistent with the hypothesis that fund companies are learning about managers' abilities, managerial turnover is more performance-sensitive for younger fund managers. Interpreting the separation-performance relationship as an incentive scheme, several of our results suggest that a desire to avoid separation may induce managers at different stages of their careers to behave differently. Younger fund managers appear to be given less discretion in the management of their funds; i.e. they are more likely to lose their jobs if their fund's beta or unsystematic risk level deviates from the mean for their fund's objective group. We also show that the shape of the job separation-performance relationship may provide an incentive for young mutual fund managers to be risk averse in selecting their fund's portfolio. Consistent with these implicit labor market incentives, younger fund managers do take on lower unsystematic risk and deviate less from typical behavior than their older counterparts. Finally, additional results on the flow of investments into mutual funds suggest that rather than just being due to a screening process, firing decisions may also be influenced by a desire to stimulate inflows of investment into the fund.
Book Synopsis Experiences of Mutual Fund Managers by : Jonas Klinkert
Download or read book Experiences of Mutual Fund Managers written by Jonas Klinkert and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis examines the impact of different experiences of mutual fund managers on fund risk and return characteristics. After controlling for time, fund and manager fixed effects, two major manager experience effects are identified. First, a higher manager career length, or alternatively a higher number of experienced recessions, leads to decreasing fund returns, skill and performance, joined by increased risk. Career concerns of mutual fund managers and incentive-based theories can provide an explanation hereon. Secondly, managers are sustainably affected from starting their career during a recession or bear market period. Funds managed by such recession managers exhibit significantly lower risk in form of volatility, value at risk and market as well as downside beta measures. This is in line with the previously identified impact of macroeconomic experiences on risk-taking by individuals and CEOs. Again, incentive-based theories and career concerns can provide a possible explanation.
Book Synopsis Swing Pricing and Fragility in Open-end Mutual Funds by : Dunhong Jin
Download or read book Swing Pricing and Fragility in Open-end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
Book Synopsis Career Concerns Versus Entrenchment in Money Management: Quantifying Limits to Arbitrage Using Lockup Maturities by : Alan Moreira
Download or read book Career Concerns Versus Entrenchment in Money Management: Quantifying Limits to Arbitrage Using Lockup Maturities written by Alan Moreira and published by . This book was released on 2011 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: I present a dynamic model of delegated asset management in which investors' learning distorts managers' incentives to time bets in low-probability catastrophe events. Uncertainty about manager skill creates a wedge between the portfolio that maximizes fund expected return and the portfolio that minimizes fund liquidation risk. In equilibrium, managers expose their portfolios to too much tail risk. Rational learning about manager skill and manager equilibrium portfolio choice make this distortion persistent . In Chapter 2, I develop the model and use a calibration exercise to highlight the main properties of the model. In Chapter 3, I estimate the model using the Simulated Method of Moments of Duffee and Singleton [1993]. The estimation results teach us how costly are contracts that entrench bad managers, and the magnitude of limits to arbitrage distortions that good managers face. Under the steady state distribution of manager reputation, a skilled managers forgoes on average 86 basis points a year of a total average skill of 744 basis points in the population. The average entrant in the hedge fund business faces substantially larger limits to arbitrage. The average new manager forgoes 235 basis points a year if she choose the fund lockup maturity optimally and 261 basis points if she is forced to manage a fund with a monthly redemption frequency. The model identifies limits to arbitrage distortions from contract maturity choices and the joint time-series behavior of liquidations, returns, and compensation observed in the hedge fund sector.
Book Synopsis Quantitative Fund Management by : M.A.H. Dempster
Download or read book Quantitative Fund Management written by M.A.H. Dempster and published by CRC Press. This book was released on 2008-12-22 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: The First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical Levels. Addressing the imbalance between research and practice, Quantitative Fund Management presents leading-edge theory and methods, along with their application in practical problems encountered in the fund management industry. A Current Snapshot of State-of-the-Art Applications of Dynamic Stochastic Optimization Techniques to Long-Term Financial Planning - The first part of the book initially looks at how the quantitative techniques of the equity industry are shifting from basic Markowitz mean-variance portfolio optimization to risk management and trading applications. This section also explores novel aspects of lifetime individual consumption investment problems, fixed-mix portfolio rebalancing allocation strategies, debt management for funding mortgages and national debt, and guaranteed return fund construction. Up-to-Date Overview of Tactical Financial Planning and Risk Management - The second section covers nontrivial computational approaches to tactical fund management. This part focuses on portfolio construction and risk management at the individual security or fund manager level over the period up to the next portfolio rebalance. It discusses non-Gaussian returns, new risk-return tradeoffs, and the robustness of benchmarks and portfolio decisions. The Future Use of Quantitative Techniques in Fund Management - With contributions from well-known academics and practitioners, this volume will undoubtedly foster the recognition and wider acceptance of stochastic optimization techniques in financial practice.
Book Synopsis Portfolio Management by : John Bonner
Download or read book Portfolio Management written by John Bonner and published by Harriman House Limited. This book was released on 2015-05-01 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investing can seem simple, but there are an infinite number of ways to get to your goals and an infinite number of ways to fail. To sharpen your investment skills, this book guides you through the key aspects of the fund management profession, working from a macro-industry overview to the micro details of security-valuation techniques, combining the benefits of academic experience with decades of industry experience. This is something also found in the complementary online Market-Class investment simulator, where you can manage a $100m fund in a dynamic market and your decisions and those of fellow fund managers 'make the market'. A smart investor doesn't rely on luck or guts, but on learning as much as possible to make the best decisions. Portfolio Management and Market-Class, with their uniquely rich insight into the real-life workflow of portfolio management, are a vital component in any investor's education.
Book Synopsis The Handbook of Global Shadow Banking, Volume II by : Luc Nijs
Download or read book The Handbook of Global Shadow Banking, Volume II written by Luc Nijs and published by Springer Nature. This book was released on 2020-06-30 with total page 759 pages. Available in PDF, EPUB and Kindle. Book excerpt: This global handbook provides an up-to-date and comprehensive overview of shadow banking, or market-based finance as it has been recently coined. Engaging in financial intermediary services outside of normal regulatory parameters, the shadow banking sector was arguably a critical factor in causing the 2007-2009 financial crisis. This second volume explores three particular domains of shadow banking. The first domain deals with the macro-economic fundamentals of the respective shadow banking segments: Why do they exist, what problems do they solve and why are some of their embedded risks so persistent? The second domain captures the global dimensions of shadow banking markets, reviewing the particularities and specifics of various shadow banking systems around the world. Volume II concludes with an extensive overview of how the sector has changed since the financial crisis, focusing on regulatory arbitrage, contract imperfection and governance. Closing on unresolved issues and open-ended questions that will no doubt remain prominent in the shadow banking sector for years to come, this handbook is a must-read for professionals and policy-makers within the banking sector, as well as those researching economics and finance.
Book Synopsis Financial Market Bubbles and Crashes, Second Edition by : Harold L. Vogel
Download or read book Financial Market Bubbles and Crashes, Second Edition written by Harold L. Vogel and published by Springer. This book was released on 2018-08-16 with total page 477 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Book Synopsis Investment Luminaries and Their Insights: 25 Years of the Research Foundation Vertin Award by : Bud Haslett
Download or read book Investment Luminaries and Their Insights: 25 Years of the Research Foundation Vertin Award written by Bud Haslett and published by CFA Institute Research Foundation. This book was released on 2021-12-09 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: CFA Institute Research Foundation is honored and delighted to present these insights from 25 years of Vertin Award recipients. These legends of the investment industry range in stature from Nobel Prize winners to billionaire hedge fund managers, from distinguished professors of finance who have shaped thousands of young minds to editors of prestigious academic journals and authors of some of the most popular investment books ever published. Although their backgrounds vary widely, they hold one thing in common: They all made substantial lifetime contributions to the field of investments. In this publication, these investment luminaries share: Their proudest accomplishments The most influential investment publications they have written and read The critical investment lessons they have learned Their expectations for the future Any professional regrets they may have had In a longer summary section, the Vertin Award winners discuss in more detail what has been most important to their professional and personal success and may be important to you and your career. The publication contains forewords from CFA Institute CEO Marg Franklin, CFA, Managing Director of Research, Advocacy, and Standards Paul Andrews, and Research Foundation Chair Joanne Hill. There are also testimonials about the importance of these investment legends from various charterholders, CFA candidates, and members of the Research Foundation. An introduction by the editor and Executive Director of the Research Foundation, Bud Haslett, CFA, describes how this publication evolved and why it is essential. Suggestions on how you can best learn from the Vertin Award winners’ insights are provided as a convenient index section so you can easily compare the various recipients’ responses to specific questions.
Book Synopsis Fund Flows, Performance, Managerial Career Concerns, and Risk-Taking by : Ping Hu
Download or read book Fund Flows, Performance, Managerial Career Concerns, and Risk-Taking written by Ping Hu and published by . This book was released on 2010 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a unified model of the interactions among investors, fund companies (represented by fund advisors) and fund managers. We show that the interplay between a manager's incentives from her compensation structure and career concerns leads to a non-monotonic (approximately U-shaped) relation between her risk choices and prior performance relative to her peers. Significantly out-performing (under-performing) managers are less (more) likely to be fired in the future, and are also more likely to increase relative risk. Ceteris paribus, relative risk declines with the level of employment risk faced by a manager. Using a large sample of mutual fund managers, we offer support for the hypothesized U-shaped relation between relative risk and prior performance, and provide evidence in support for the importance of employment risk in driving risk-shifting by fund managers. We also find that younger managers who face greater employment risk choose lower relative risk. We present evidence consistent with other hypotheses implied by our theory that link determinants of the fund flow-performance relation and managers' employment risk to their risk-taking behavior. Funds with higher expense ratios have less convex fund flow-performance relations and less convex U-shaped relations between relative risk and prior performance. Funds with younger managers, who face greater employment risk, have more convex U-shaped relative risk-prior performance relations.
Book Synopsis Financial Market Bubbles and Crashes by : Harold L. Vogel
Download or read book Financial Market Bubbles and Crashes written by Harold L. Vogel and published by Springer Nature. This book was released on 2021-12-17 with total page 619 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and are defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Book Synopsis Investing in Pension Funds & Endowments by : Russell L. Olson
Download or read book Investing in Pension Funds & Endowments written by Russell L. Olson and published by McGraw-Hill Companies. This book was released on 2003 with total page 409 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investing in Pension Funds and Endowments focuses on institutional tax-free investing by pension funds, endowments, and foundations. This type of investing is highly susceptible to returns, and the fiduciaries involved with the fund face dramatic effects with even a 1 percent change in long-term rates of return. It is crucial that fiduciaries operate prudently in order to achieve higher rates of return. The book covers a gamut of investing insights and tools for managers who focus on pension funds, endowments, and foundations. From setting investment objectives to the pros and cons of such funds, Rusty Olson shares his expert experience to help readers get the most out of their funds. Based on the author's previous book The Independent Fiduciary (Wiley, 1999), this new guide includes insight into asset allocation, risk, and calculating rates of return. The book then moves on to cover higher-level topics, including venture capital funds, hedging foreign exchange, and fund governance.
Book Synopsis An Equilibrium Model of Career Concerns, Investment Horizons, and Mutual Fund Value Added by : Jules H. van Binsbergen
Download or read book An Equilibrium Model of Career Concerns, Investment Horizons, and Mutual Fund Value Added written by Jules H. van Binsbergen and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Quantitative Financial Economics by : Keith Cuthbertson
Download or read book Quantitative Financial Economics written by Keith Cuthbertson and published by John Wiley & Sons. This book was released on 2005-05-05 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining ‘real-world’ issues. The new edition will include: Updated charts and cases studies. New companion website allowing students to put theory into practice and to test their knowledge through questions and answers. Chapters on Monte Carlo simulation, bootstrapping and market microstructure.
