发布求助
文献互助 智能选刊 最新文献

Mutual Funds最新文献

筛选
英文 中文
Investment Committee Voting and the Financing of Innovation 投资委员会投票和创新融资
Mutual Funds Pub Date : 2021-06-14 DOI: 10.2139/ssrn.3866854
A. Malenko, Ramana Nanda, Matthew Rhodes-Kropf, Savitar Sundaresan
{"title":"Investment Committee Voting and the Financing of Innovation","authors":"A. Malenko, Ramana Nanda, Matthew Rhodes-Kropf, Savitar Sundaresan","doi":"10.2139/ssrn.3866854","DOIUrl":"https://doi.org/10.2139/ssrn.3866854","url":null,"abstract":"We provide novel evidence on voting practices used by the investment committees of prominent venture capital investors in the U.S. A substantial share of these VCs use a voting rule for seed and early stage investments where a single `champion' is sufficient for the entire partnership to make an investment, even if other members are not as favorable. However, the same VCs migrate to more conventional `majority' or `unanimous' voting rules for their later stage investments. We show theoretically that a `champions' model can emerge as the optimal voting rule when outcomes follow a sub-exponential distribution (resembling the investments of early stage VC), but also requires that partners have sufficiently common objectives to prevent strategic overchampioning for pet projects. More traditional voting rules are robust to overchampioning but are more likely to systematically miss the best early stage investments.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81962236","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
How Sovereign is Sovereign Credit Risk? Global Prices, Local Quantities 主权信用风险有多主权?全球价格，本地数量
Mutual Funds Pub Date : 2021-06-08 DOI: 10.2139/ssrn.2848944
Patrick Augustin, V. Sokolovski, M. Subrahmanyam, Davide Tomio
{"title":"How Sovereign is Sovereign Credit Risk? Global Prices, Local Quantities","authors":"Patrick Augustin, V. Sokolovski, M. Subrahmanyam, Davide Tomio","doi":"10.2139/ssrn.2848944","DOIUrl":"https://doi.org/10.2139/ssrn.2848944","url":null,"abstract":"Sovereign default insurance price fluctuations are dominated by common risks. In contrast, fluctuations in their quantities are primarily explained by country-specific factors. Using net positions in sovereign default insurance contracts for 60 countries between 2008 and 2015, we show that a country's debt and size explain 75% of cross-country differences in net insured interest. We develop an economic framework showing that high commonality in prices and low commonality in quantities can arise jointly only if insurance demand and supply shift in opposite directions in response to global shocks. We identify hedge funds as primary net suppliers of sovereign default protection.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72978108","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Reconciling mean-variance portfolio theory with non-Gaussian returns 均值-方差投资组合理论与非高斯收益的调和
Mutual Funds Pub Date : 2021-06-01 DOI: 10.2139/ssrn.3664049
Nathan Lassance
{"title":"Reconciling mean-variance portfolio theory with non-Gaussian returns","authors":"Nathan Lassance","doi":"10.2139/ssrn.3664049","DOIUrl":"https://doi.org/10.2139/ssrn.3664049","url":null,"abstract":"Abstract Mean-variance portfolio theory remains frequently used as an investment rationale because of its simplicity, its closed-form solution, and the availability of well-performing robust estimators. At the same time, it is also frequently rejected on the grounds that it ignores the higher moments of non-Gaussian returns. However, higher-moment portfolios are associated with many different objective functions, are numerically more complex, and exacerbate estimation risk. In this paper, we reconcile mean-variance portfolio theory with non-Gaussian returns by identifying, among all portfolios on the mean-variance efficient frontier, the one that optimizes a chosen higher-moment criterion. Numerical simulations and an empirical analysis show, for three higher-moment objective functions and adjusting for transaction costs, that the proposed portfolio strikes a favorable tradeoff between specification and estimation error. Specifically, in terms of out-of-sample Sharpe ratio and higher moments, it outperforms the global-optimal portfolio, and also the global-minimum-variance portfolio except when using monthly returns for which estimation error is more prominent.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"4 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75288197","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
The Internal Capital Markets of Global Dealer Banks 全球交易商银行的内部资本市场
Mutual Funds Pub Date : 2021-05-28 DOI: 10.17016/FEDS.2021.036
Arun Gupta
{"title":"The Internal Capital Markets of Global Dealer Banks","authors":"Arun Gupta","doi":"10.17016/FEDS.2021.036","DOIUrl":"https://doi.org/10.17016/FEDS.2021.036","url":null,"abstract":"This study uncovers the existence of a trillion-dollar internal capital market that played a central role in the financing of dealer banks during the 2008 Global Financial Crisis. Hand-collecting a novel set of dealer microdata at the subsidiary level, I present the first set of facts on the evolution of interaffiliate loans between U.S. primary dealers and their (primarily foreign) siblings. First, the aggregate size of these dealer internal capital markets quadrupled from $335 billion in 2001 to $1.2 trillion by 2007. Second, 25 percent of total repurchase agreements and 61 percent of total securities lending reported on U.S. primary dealer balance sheets were sourced internally from sibling dealers by year-end 2007. Third, internal securities lending collapsed by 55 percent during the 2008 crisis. These facts suggest that incorporating internal capital market dynamics may be fruitful for future research on dealer behavior and market liquidity.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"90 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83900001","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Asset Allocation with Liquidity-Adjusted Market Risk Modeling: Empirical Relevance to Multiple-Asset Portfolios 基于流动性调整市场风险模型的资产配置:与多资产组合的实证关联
Mutual Funds Pub Date : 2021-05-18 DOI: 10.2139/ssrn.3847074
Mazin A. M. Al Janabi
{"title":"Asset Allocation with Liquidity-Adjusted Market Risk Modeling: Empirical Relevance to Multiple-Asset Portfolios","authors":"Mazin A. M. Al Janabi","doi":"10.2139/ssrn.3847074","DOIUrl":"https://doi.org/10.2139/ssrn.3847074","url":null,"abstract":"In this paper, the author demonstrate a practical approach for measurement, management and control of market risk exposure for financial trading portfolios. This approach is based on the renowned concept of Liquidity-Adjusted Value at Risk (L-VaR) along with the creation of a software tool utilizing matrix-algebra technique under the notion of different correlation factors and liquidation horizons.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"27 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76487525","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
What Explains the Benefits of International Portfolio Diversification? 如何解释国际投资组合多样化的好处?
Mutual Funds Pub Date : 2021-05-18 DOI: 10.2139/ssrn.3848818
Najah Attig, O. Guedhami, Oumar Sy
{"title":"What Explains the Benefits of International Portfolio Diversification?","authors":"Najah Attig, O. Guedhami, Oumar Sy","doi":"10.2139/ssrn.3848818","DOIUrl":"https://doi.org/10.2139/ssrn.3848818","url":null,"abstract":"This study uses a large sample of international stocks to examine the sources of the benefits of international portfolio diversification. It finds not only that international diversification outperformed industrial diversification over the past 25 years, but also that the gains from international diversification derive primarily from mitigating market and political risks. Economic risk appears important for investors giving more weight to smaller countries, while financial and inflation risks appear more important to funds limited to large countries. Risks related to the quality of the legal and credit environments seem less important for international diversification.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"41 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73049039","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
US Stock-Bond Correlation: What are the Macroeconomic Drivers? 美股债相关性:宏观经济驱动因素是什么?
Mutual Funds Pub Date : 2021-05-13 DOI: 10.2139/ssrn.3855610
Junying Shen, Noah Weisberger
{"title":"US Stock-Bond Correlation: What are the Macroeconomic Drivers?","authors":"Junying Shen, Noah Weisberger","doi":"10.2139/ssrn.3855610","DOIUrl":"https://doi.org/10.2139/ssrn.3855610","url":null,"abstract":"US stock-bond correlation, which plays an important role in institutional portfolio construction, has been persistently negative for the last 20y. This negative correlation allows stocks and bonds to serve as a hedge for each other, enabling CIOs to increase stock allocations while still satisfying a portfolio risk budget. However, stock-bond correlation is not immutable. In fact, it was consistently positive for more than 30y prior to 2000. A return to positively correlated stock and bond returns may require CIOs to rethink their asset allocation.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"30 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73933883","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Strategic Investment in Technology via Corporate Venture Capital 通过企业风险投资对技术进行战略投资
Mutual Funds Pub Date : 2021-05-05 DOI: 10.2139/ssrn.3840357
Susheng Wang
{"title":"Strategic Investment in Technology via Corporate Venture Capital","authors":"Susheng Wang","doi":"10.2139/ssrn.3840357","DOIUrl":"https://doi.org/10.2139/ssrn.3840357","url":null,"abstract":"We study corporate strategic investment in technology via corporate venture capital (CVC). An entrepreneurial venture is said CVC-superior if investing in it is better than investing in internal R&D to an investing company. We find that ventures with high expected technologies are CVC-superior; ventures with medium expected technologies are CVC-inferior; and ventures with low expected technologies are CVC-superior if the ventures have excellent financial profiles. CVC offers an option for the investing company to choose between an acquisition or a sale off of the venture. The option is said desirable if it improves efficiency. We find that this option is desirable for ventures with superior financial profiles, but undesirable for ventures with superior technological profiles.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"41 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85541289","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Variations in Investment Advice Provision: A Study of Financial Advisors of Millionaire Investors 投资建议提供的变化:百万富翁投资者财务顾问的研究
Mutual Funds Pub Date : 2021-05-03 DOI: 10.2139/ssrn.3286519
Ylva Baeckström, I. Marsh, J. Silvester
{"title":"Variations in Investment Advice Provision: A Study of Financial Advisors of Millionaire Investors","authors":"Ylva Baeckström, I. Marsh, J. Silvester","doi":"10.2139/ssrn.3286519","DOIUrl":"https://doi.org/10.2139/ssrn.3286519","url":null,"abstract":"Abstract Vignette methodology is used to examine how the personal characteristics of investors and financial advisors contribute to portfolio recommendations, and the judgements that advisors make about investment knowledge and control of prospective millionaire UK clients. We find that advisors use investor characteristics to make recommendations broadly in line with economic theory and regulatory requirements. However, women are judged less knowledgeable and in control of their investments than equivalent men. They also receive portfolio recommendations with slightly lower risk profiles. Portfolio recommendations vary by advisor, with experienced advisors and those with wealthier clients recommending higher risk portfolios. Unmeasured advisor variables also impact on judgements and recommendations. These findings have relevance to the wealth management industry and regulators, in focusing attention on the conscious and unconscious influences on the judgements advisors make about their clients.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"160 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85076735","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Optimal Active Share 最优活动份额
Mutual Funds Pub Date : 2021-05-03 DOI: 10.2139/ssrn.3838758
Vyacheslav Yukhymuk, A. Ulitsky
{"title":"Optimal Active Share","authors":"Vyacheslav Yukhymuk, A. Ulitsky","doi":"10.2139/ssrn.3838758","DOIUrl":"https://doi.org/10.2139/ssrn.3838758","url":null,"abstract":"Active Share is a widely used measure of an active portfolio´s deviation from the benchmark holdings. Initial research by M. Cremers and A. Petajisto [1] indicated that managers with a high Active Share value tend to outperform others. That observation promoted Active Share value as a predictor of fund performance. However, in an unrelated study, S. Johnson, R. Kahn and D. Petrich [2] showed that alpha, risk and gearing can not be selected independently. They also showed that imposing enhanced gearing value through a penalty can result in a significant deterioration in investment strategy performance. These results can be immediately translated into an active space where the gearing target becomes an Active Share target. In this paper, we analyzed the impact of directly setting an Active Share target by a constraint. Our results show that constraining Active Share to a higher value than the one consistent with the selected risk target has only negative impact on investment strategy performance. While we agree that achieving a higher unconstrained value of an Active Share measure may be a good sign of “activeness”, our results illustrate that reaching this objective by adding a binding constraint is neither a good investment practice nor one that will translate into a better performance.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"104 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90408736","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信