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  1. Have hedge funds solved the idiosyncratic volatility puzzle?
    Autor*in: Bali, Turan G.; Weigert, Florian
    Erschienen: December 2018
    Verlag:  School of Finance, University of St. Gallen, St. Gallen

    While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge... mehr

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    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 314
    Fernleihe:
    keine Fernleihe

     

    While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility outperform and this pattern is explained by the positive return effect of idiosyncratic volatility in their equity portfolio holdings. Hedge funds select stocks wisely. They pick high volatility stocks when they are undervalued or when they experience positive earnings surprises in the future. They shy away from high volatility stocks when they are overvalued or when they display lottery-like payoffs. Hedge funds also trade derivatives in a way to profit from the positive volatility effect

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Working papers on finance ; no. 2018, 27
    Schlagworte: Hedge Funds; Idiosyncratic VolatilityPuzzle; Confidential Holdings; Derivatives; Managerial Incentives; Investment Performance
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 59 Seiten), Illustrationen
    Bemerkung(en):

    Laut SSRN-Frontdoor auch Georgetown McDonough School of Business Research Paper No. 3292347
  2. Our product is unique
    a note on a delegation game with differentiated products
    Autor*in: Buchen, Clemens; Hartmann, Sven A.; Palermo, Alberto
    Erschienen: July 2021
    Verlag:  Institute for Labour Law and Industrial Relations in the European Union (IAAEU), Trier

    We analyze a Cournot duopoly market with differentiated goods and the separation between ownership and control. We consider a delegation game, for which the owner of a firm hires a manager who acts as if the good has a lower degree of... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 307
    Fernleihe:
    keine Fernleihe

     

    We analyze a Cournot duopoly market with differentiated goods and the separation between ownership and control. We consider a delegation game, for which the owner of a firm hires a manager who acts as if the good has a lower degree of substitutability than it really has. This is so either because managers are biased and perceive the good in this way, or because firms design an incentive scheme accordingly, which leads the manager to act in this way. Both firms rely on delegation. We discuss conditions, which lead one firm to increase its profit implying that the usual result of a prisoners' dilemma is avoided.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/236621
    Schriftenreihe: IAAEU discussion paper series in economics / IAAEU ; no. 2021, 02
    Schlagworte: Strategic Delegation; Managerial Incentives; Oligopoly
    Umfang: 1 Online-Ressource (circa 17 Seiten)
  3. Managerial incentives, innovation and product market competition
    Autor*in: Zhang, Zhentang
    Erschienen: 2002
    Verlag:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  4. Managerial incentives, innovation and product market competition
    Autor*in: Zhang, Zhentang
    Erschienen: 2002
    Verlag:  DIW, Berlin

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  5. The Horizon of Investors' Information and Corporate Investment
    Autor*in: Dessaint, Olivier; Foucault, Thierry; Frésard, Laurent
    Erschienen: 2023
    Verlag:  SSRN, [S.l.]

    We study how the quality of investors' information across horizons influences investment. In our theory, managers care about how investment is impounded in current stock prices. Because prices imperfectly reflect investment’s value, they... mehr

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    Resolving-System (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    We study how the quality of investors' information across horizons influences investment. In our theory, managers care about how investment is impounded in current stock prices. Because prices imperfectly reflect investment’s value, they under-invest. However, they under-invest less when investors have better information about the horizon matching that of their projects. Using a measure of projects' horizon obtained from the text of regulatory filings, we find that improvements in investors' long-term (short-term) information induce firms with long-term (short-term) projects to invest more, especially when managers focus on current stock prices. Therefore, the quality of investors' information across horizons has real effects

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: HEC Paris Research Paper ; No. FIN-2022-1462
    Schlagworte: Project Horizon; Short-termism; Information Quality; Forecasting horizon; Forecasts’ informativeness; Managerial Incentives
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (58 p)
    Bemerkung(en):

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 10, 2022 erstellt
  6. Hedge funds and the positive idiosyncratic volatility effect
    Autor*in: Bali, Turan G.; Weigert, Florian
    Erschienen: 2021
    Verlag:  Centre for Financial Research, Cologne

    While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 142
    Fernleihe:
    keine Fernleihe

     

    While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility outperform and this pattern is explained by the positive return effect of idiosyncratic volatility in their equity portfolio holdings. Hedge funds select stocks wisely by picking high-volatility stocks when they are undervalued and shying away from high-volatility stocks when they are overvalued or display lottery-like payoffs. They also trade derivatives in a way to profit from the positive volatility effect.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/228697
    Auflage/Ausgabe: This version: December 2020
    Schriftenreihe: CFR working paper ; no. 21, 01
    Schlagworte: Hedge Funds; Idiosyncratic Volatility Puzzle; Equity Portfolio Holdings; Derivatives; Managerial Incentives; Investment Performance
    Umfang: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  7. The horizon of investors’ information and corporate investment
    Autor*in: Dessaint, Olivier; Foucault, Thierry; Frésard, Laurent
    Erschienen: [2023]
    Verlag:  INSEAD, [Fontainebleau]

    Zugang:
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Auflage/Ausgabe: Revised version of 2023/17/TOM/ACGRE
    Schriftenreihe: Array ; 2023, 60
    Schlagworte: Project Horizon; Short-termism; Information Quality; Forecasting Horizon; Forecasts’Informativeness; Managerial Incentives
    Umfang: 1 Online-Ressource (circa 58 Seiten), Illustrationen