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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：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：Han, Lu
作者单位：University of Toronto
摘要：Standard theory predicts a positive relationship between risk and return, yet recent data show that housing returns vary positively with risk in some markets but negatively in others. This paper rationalizes these cross-market differences in the risk-return relationship for housing, and in so doing, explains the puzzling negative relationship. The paper shows that when the current house provides a hedge against the risk associated with the future housing consumption, households are willing to ...
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作者：Cohn, Jonathan B.; Rajan, Uday
作者单位：University of Texas System; University of Texas Austin; University of Michigan System; University of Michigan
摘要：We provide a model of governance in which a board arbitrates between an activist investor and a manager facing reputational concerns. The optimal level of internal board governance depends on both the severity of the agency conflict and the strength of external governance. Internal governance creates a certification effect, so greater intervention by the board can lead to worse managerial behavior. Internal and external governance are substitutes when external governance is weak (the board com...
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作者：Liu, Jun; Timmermann, Allan
作者单位：University of California System; University of California San Diego
摘要：Convergence trades exploit temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively overpriced assets. This paper studies optimal convergence trades under both recurring and nonrecurring arbitrage opportunities represented by continuing and stopped cointegrated price processes and considers both fixed and stochastic (Poisson) horizons. Conventional long-short delta neutral strategies are generally suboptimal and it can be optimal to simultaneousl...
