Posts Tagged ‘Performance

09
Jun
11

Paper: No aprendes más

THIS TIME IS THE SAME: USING BANK PERFORMANCE IN 1998 TO EXPLAIN BANK PERFORMANCE DURING THE RECENT FINANCIAL CRISIS

We investigate whether a bank’s performance during the 1998 crisis, which was viewed at the time as the most dramatic crisis since the Great Depression, predicts its performance during the recent financial crisis. One hypothesis is that a bank that has an especially poor experience in a crisis learns and adapts, so that it performs better in the next crisis. Another hypothesis is that a bank’s poor experience in a crisis is tied to aspects of its business model that are persistent, so that its past performance during one crisis forecasts poor performance during another crisis. We show that banks that performed worse during the 1998 crisis did so as well during the recent financial crisis. This effect is economically important. In particular, it is economically as important as the leverage of banks before the start of the crisis. The result cannot be attributed to banks having the same chief executive in both crises. Banks that relied more on short-term funding, had more leverage, and grew more are more likely to be banks that performed poorly in both crises.

Link al Paper

24
Jan
11

Paper: Busquedas en Google y performance

In Search of Attention

Abstract

We propose a new and direct measure of investor attention using search frequency in Google(SVI). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the attention of retail investors. An increase in SVI predicts higher stock prices in the next two weeks and an eventual price reversal within the year. It also contributes to the large first-day return and long-run underperformance of IPO stocks. Our results provide direct support for Barber and Odeanís (2008) price pressure hypothesis and highlight the usefulness of search data which can reveal investor interests.

Link al Paper

11
Jan
11

Gráfico du Jour: Hedge Fund Performance 2010

(Fuente: EconomPicData)

24
Oct
10

Gráfico du Jour: Monedas vs. Oro

(Fuente: Pacifica Partners, via Forex Blog)

02
Sep
10

Paper: Mutual Fund, Tamaño y performance

How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach

Abstract:
The two main stylized facts in the mutual fund literature are that funds exhibit little ability to persistently outperform their peers, but new money flows into funds with the highest past returns. The traditional interpretations of these facts are that fund managers are unskilled and fund investors are unsophisticated. Berk and Green (2004) use a model that combines skilled managers with diseconomies of scale in asset management to challenge these interpretations. They argue that more-skilled managers will manage more assets but – precisely because they manage more assets – will generate the same expected future returns as less-skilled managers. In their model, standard cross-sectional regressions of fund returns on fund size will significantly underestimate diseconomies of scale. To identify the causal impact of mutual fund flows on performance, we exploit the fact that small differences in mutual fund returns can cause discrete changes in Morningstar ratings and, thereby, cause discrete differences in mutual fund flows. The diseconomies of scale that we estimate using this regression discontinuity approach are larger than those estimated in standard regressions, but generally smaller than assumed in Berk and Green – or than are required to explain the low observed levels of performance persistence.

Link al Paper

02
Apr
10

Paper: Rebalanceo y Performance

Fundamental Indexation: Rebalancing Assumptions and Performance

Abstract:
We show that the performance of a fundamental index with annual rebalancing, as proposed by Arnott, Hsu and Moore (2005), can be highly sensitive to the subjective choice of when to rebalance. Although performance differences between fundamental indexes rebalanced at different dates tend to be small in the long run, they can be substantial at shorter horizons. For the year 2009, for example, we find that a fundamental index rebalanced every March outperformed the capitalization-weighted index by over 10%, whereas a fundamental index rebalanced every September underperformed. This performance ambiguity is an undesirable feature for an index which is used for benchmarking purposes. We introduce the idea of blending multiple underlying fundamental indexes, each one rebalanced annually, but at different dates, as an example of how to construct a more robust fundamental index without increasing turnover.

Link al Paper

10
Feb
10

Paper: Private Equity

Private Equity and Industry Performance

Abstract:
The growth of the private equity industry has spurred concerns about its potential impact on the economy more generally. This analysis looks across nations and industries to assess the impact of private equity on industry performance. Industries where PE funds have invested in the past five years have grown more quickly in terms of productivity and employment. There are few significant differences between industries with limited and high private equity activity. It is hard to find support for claims that economic activity in industries with private equity backing is more exposed to aggregate shocks. The results using lagged private equity investments suggest that the results are not driven by reverse causality. These patterns are not driven solely by common law nations such as the United Kingdom and United States, but also hold in Continental Europe.

Link al Paper




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

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