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作者：Robinson, David T.; Sensoy, Berk A.
作者单位：Duke University; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：We study the relations between management contract terms and performance in private equity using new data for 837 funds from 1984-2010. We find no evidence that higher fees or lower managerial ownership are associated with lower net-of-fee performance. Nevertheless, compensation rises and shifts to performance-insensitive components during fundraising booms. Further, the behavior of distributions around contractual fee triggers is consistent with an underlying agency conflict between investors...
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作者：Detemple, Jerome; Rindisbacher, Marcel
作者单位：Boston University
摘要：This paper derives and analyzes dynamic timing strategies of a fund manager with private information. Endogenous timing strategies generated by various information structures and skills, and associated fund styles, are identified. Endogenous fund returns are characterized in the public information of an uninformed observer. Timing components are identified. The paper provides foundations for regression analyses of fund returns and tests of market timing.
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作者：Kaniel, Ron; Kondor, Peter
作者单位：University of Rochester; Central European University
摘要：We analyze the effects of the observed increased share of delegated capital for trading strategies and equilibrium prices by introducing delegation into a standard Lucas exchange economy. In equilibrium, some investors trade on their own account, but others decide to delegate trading to professional fund managers. Flow-performance incentive functions describe how much capital clients provide to funds at each date as a function of past performance. Convex flow-performance relations imply that t...
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作者：Guibaud, Stephane; Nosbusch, Yves; Vayanos, Dimitri
作者单位：University of London; London School Economics & Political Science; National Bureau of Economic Research
摘要：We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in the absence of distortionary taxes and induces efficient intergenerational risksharing. If agents are more risk-averse than log, then an increase in the long-horizon clientele raises the price and optimal supply of long-term bonds-effects that we ...
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作者：Gomes, Francisco; Michaelides, Alexander; Polkovnichenko, Valery
作者单位：University of London; London Business School; University of Cyprus; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study the simultaneous impact of fiscal policy decisions on macroeconomic activity, wealth distribution, and asset prices. We consider a general equilibrium, overlapping generations model with incomplete markets and heterogeneous agents, where government debt and capital are imperfect substitutes. Increases in public debt lead to significant increases in the riskless rate and to a reduction in the equity premium, while higher capital income tax rates lead to a higher equity premium. The cro...
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作者：Chen, Long; Da, Zhi; Zhao, Xinlei
作者单位：University of Notre Dame; University System of Ohio; Kent State University; Kent State University Salem; Kent State University Kent
摘要：A central issue in finance is whether stock prices move because of revisions in expected cash flows or discount rates, and by how much of each. Using direct cash flow forecasts, we show that stock returns have a significant cash flow news component whose importance increases with the investment horizon. For horizons over two years, cash flow news is more important. These conclusions hold at both the firm and aggregate levels, and diversification plays a secondary role in affecting the relative...
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作者：Hochberg, Yael V.; Rauh, Joshua D.
作者单位：Northwestern University; Stanford University; National Bureau of Economic Research
摘要：Institutional investors exhibit substantial home-state bias in private equity. This effect is particularly pronounced for public pension funds, where overweighting amounts to 9.8% of aggregate private-equity investments and 16.5% for the average limited partner. Public pension funds' in-state investments achieve performance that is lower by two to four percentage points than both their own similar out-of-state investments and similar investments in their state by out-of-state investors. Overwe...
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作者：Cella, Cristina; Ellul, Andrew; Giannetti, Mariassunta
作者单位：Stockholm School of Economics; Indiana University System; Indiana University Bloomington
摘要：This paper shows that during episodes of market turmoil, 13F institutional investors with short trading horizons sell their stockholdings to a larger extent than 13F institutional investors with longer trading horizons. This creates price pressure for stocks held mostly by short-horizon investors, which, as a consequence, experience larger price drops, and subsequent reversals, than stocks held mostly by long-horizon investors. These findings, obtained after controlling for the withdrawals exp...
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作者：Carlin, Bruce Ian; Gervais, Simon; Manso, Gustavo
作者单位：University of California System; University of California Los Angeles; Duke University; University of California System; University of California Berkeley
摘要：We develop a theoretical model to analyze the effects of libertarian paternalism on information production and financial decision making. Individuals in our model appreciate the information content of the recommendations made by a social planner. This affects their incentive to gather information, and in turn the speed at which information spreads across market participants, via social learning or formal advice channels. We characterize situations in which libertarian paternalism improves welf...
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作者：Amihud, Yakov; Goyenko, Ruslan
作者单位：New York University; McGill University
摘要：We propose that fund performance can be predicted by its R-2, obtained from a regression of its returns on a multifactor benchmark model. Lower R-2 indicates greater selectivity, and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R-2 and highest-quintile lagged alpha produce significant annual alpha of 3.8%. Across funds, R-2 is positively associated with fund size and negatively associated with its expenses and manager's tenure.
