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作者：Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier
作者单位：University of Luxembourg; Universita della Svizzera Italiana; University of Geneva
摘要：We develop a flexible and bias-adjusted approach to jointly examine skill, scalability, and value-added across individual funds. We find that skill and scalability (i) vary substantially across funds, and (ii) are strongly related, as great investment ideas are difficult to scale up. The combination of skill and scalability produces a value-added that (i) is positive for the majority of funds, and (ii) approaches its optimal level after an adjustment period (possibly due to investor learning)....
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作者：Kondor, Peter; Pinter, Gabor
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; Bank of England
摘要：We propose a new measure of private information in decentralized markets-connections-which exploits the time variation in the number of dealers with whom a client trades in a time period. Using trade-level data for the U.K. government bond market, we show that clients perform better when having more connections as their trades predict future price movements. Time variation in market-wide connections also helps explain yield dynamics. Given our novel measure, we present two applications suggest...
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作者：Dong, Xi; Li, Yan; Rapach, David E.; Zhou, Guofu
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Southwestern University of Finance & Economics - China; Saint Louis University; Washington University (WUSTL)
摘要：We provide the first systematic evidence on the link between long-short anomaly portfolio returns-a cornerstone of the cross-sectional literature-and the time-series predictability of the aggregate market excess return. Using 100 representative anomalies from the literature, we employ a variety of shrinkage techniques (including machine learning, forecast combination, and dimension reduction) to efficiently extract predictive signals in a high-dimensional setting. We find that long-short anoma...
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作者：Lewellen, Jonathan; Lewellen, Katharina
作者单位：Dartmouth College
摘要：This paper studies institutional investors' incentives to be engaged shareholders. In 2017, the average institution gains an extra $129,000 in annual management fees if a stockholding increases 1% in value, considering both the direct effect on assets under management and the indirect effect on subsequent fund flows. The estimates range from $19,600 for investments in small firms to $307,600 for investments in large firms. Institutional shareholders in one firm often gain when the firm's compe...
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作者：Atmaz, Adem; Basak, Suleyman
作者单位：Purdue University System; Purdue University; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：We develop a stationary model of the aggregate stock market featuring both dividend-paying and no-dividend stocks within a familiar, parsimonious consumption-based equilibrium framework. We find that such a simple feature leads to profound implications supporting several stock market empirical regularities that leading consumption-based asset pricing models have difficulty reconciling. Namely, the presence of no-dividend stocks in the stock market leads to a lower correlation between stock mar...
