Posts Tagged ‘fee


Paper: ¿tarjetas de crédito como generadoras de desigualdad?

Who Gains and Who Loses from Credit Card Payments? Theory and Calibrations
Merchant fees and reward programs generate an implicit monetary transfer to credit cardusers from non-card (or “cash”) users because merchants generally do not set differential prices for card users to recoup the costs of fees and rewards. On average, each cash-using household pays $151 to card-using households and each card-using household receives $1,482 from cash users every year. Because credit card spending and rewards are positively correlated with household income, the payment instrument transfer also induces a regressive transfer from low-income to high-income households in general. On average, and after accounting for rewards paid to households by banks, the lowest-income household ($20,000 or ess annually) pays $23 and the highest-income household ($150,000 or more annually)receives $756 every year. We build and calibrate a model of consumer payment choice tocompute the effects of merchant fees and card rewards on consumer welfare. Reducing merchant fees and card rewards would likely increase consumer welfare.
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Paper: Fondos y Gastos

Mutual Funds and the New Total Expense Ratio

This study presents the construct of a New Total Expense Ratio built upon the concept of normative transparency of disclosure. This construct presents the reality of adviser/distributor payments to brokers “behind the mutual fund curtain.” The source of these payments is fund and shareholder assets. The New Total Expense Ratio includes: (1) management fees, (2) distribution fees, (3) “other” expenses, and (4) transaction costs. Sub-categories are also included.

SEC adoption of the New Total Expense Ratio would foster significant prohibitions and changes in the huge payments mutual funds make to advisers, distributors, and brokers. However, adoption and recommended prohibitions and changes will require the concerted efforts of objective and proactive independent directors, fund advisers practicing stewardship, the (unlikely) support of the fund industry, and, finally, the political will for regulatory reform.

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Paper: Hedge Funds entre Alphas y costos

The ABCs of Hedge Funds: Alphas, Betas, & Costs

Despite the retrenchment of the hedge fund industry in 2008, hedge fund assets under management are currently over one and a half trillion dollars. We analyze the potential biases in reported hedge fund returns, in particular survivor-ship bias and back fill bias. We then decompose the returns into three components: the systematic market exposure (beta), the value added by hedge funds (alpha), and the hedge fund fees (costs). We analyze the performance of a universe of about 8,400 hedge funds from the TASS database from January 1995 through December 2009. Our results indicate that both survivor-ship and back fill biases are potentially serious problems. Adjusting for these biases brings the net return from 14.26% to 7.63% for the equally weighted sample. Over the entire period, this return is slightly lower than the S&P 500 return of 8.04%, but includes a statistically significant positive alpha. We estimate a pre-fee return of 11.42%, which we split into a fee (3.78%), an alpha (3.01%), and a beta return (4.62%). The positive alpha is quite remarkable, since the mutual fund industry in aggregate does not produce alpha net of fees. The year by year results also show that alphas from hedge funds were positive during every year of the last decade, even through the recent financial crisis of 2008 and 2009.

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Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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