Matching Items (2,729)
Filtering by
- Creators: Schumann, Robert, 1810-1856
Description
I study the performance of hedge fund managers, using quarterly stock holdings from 1995 to 2010. I use the holdings-based measure built on Ferson and Mo (2012) to decompose a manager's overall performance into stock selection and three components of timing ability: market return, volatility, and liquidity. At the aggregate level, I find that hedge fund managers have stock picking skills but no timing skills, and overall I do not find strong evidence to support their superiority. I show that the lack of abilities is driven by the large fluctuations of timing performance with market conditions. I find that conditioning information, equity capital constraints, and priority in stocks to liquidate can partly explain the weak evidence. At the individual fund level, bootstrap analysis results suggest that even top managers' abilities cannot be separated from luck. Also, I find that hedge fund managers exhibit short-horizon persistence in selectivity skill.
ContributorsKang, MinJeong (Author) / Aragon, George O. (Thesis advisor) / Hertzel, Michael G (Committee member) / Boguth, Oliver (Committee member) / Arizona State University (Publisher)
Created2013
Description
In the first chapter, I develop a representative agent model in which the purchase of consumption goods must be planned in advance. Volatility in the agent's portfolio increases the risk that a purchase cannot be implemented. This implementation risk causes the agent to make conservative consumption plans. In the model, this leads to persistent and negatively skewed consumption growth and a slow reaction of consumption to wealth shocks. The model proposes a novel explanation for the negative relation between volatility and expected utility. In equilibrium, prices of risky assets must compensate for the utility loss. Hence, the model suggests a new mechanism for generating the equity risk premium. Importantly, because implementation risk does not rely on the co-movement of asset prices with marginal utility, the resulting equity premium does not require concavity of the intratemporal utility function.
In the second chapter, I challenge the view that equity market timing always benefits
shareholders. By distinguishing the effect of a firm's equity decisions from the effect of mispricing itself, I show that market timing can decrease shareholder value. Additionally, the timing of equity sales has a more negative effect on existing shareholders than the timing of share repurchases. My theory can be used to infer firms' maximization objectives from their observed market timing strategies. I argue that the popularity of stock buybacks, the low frequency of seasoned equity offerings, and the observed post-event stock returns are consistent with managers maximizing current shareholder value.
In the second chapter, I challenge the view that equity market timing always benefits
shareholders. By distinguishing the effect of a firm's equity decisions from the effect of mispricing itself, I show that market timing can decrease shareholder value. Additionally, the timing of equity sales has a more negative effect on existing shareholders than the timing of share repurchases. My theory can be used to infer firms' maximization objectives from their observed market timing strategies. I argue that the popularity of stock buybacks, the low frequency of seasoned equity offerings, and the observed post-event stock returns are consistent with managers maximizing current shareholder value.
ContributorsWan, Pengcheng (Author) / Boguth, Oliver (Thesis advisor) / Tserlukevich, Yuri (Thesis advisor) / Babenka, Ilona (Committee member) / Arizona State University (Publisher)
Created2015
Description
This paper explores the rationale and analysis of a global financial institution and the methodologies used to underwrite a deal between the commercial bank and a middle market client looking to renew existing commercial loans; particularly a real estate term loan, long-term revolving line of credit, guidance line of credit (GLOC), equipment line of credit, and an interest rate swap contract. Typical analysis in the form of risk allowance, collateral due diligence, industry observation, and company-specific financial and operational strength has been performed and the deal has been approved by JPMorgan Chase & Co. Additionally, the frequency of covenant default has been determined by a pro forma income statement simulation based on a combination of both normal and uniform distributions to determine various outcomes for sales and cost of goods sold growth in future years. The results of the simulation are used to determine probability of default on specific financial covenants in the deal to gain a better understanding of the risks associated with the proposed exposure amount and the client's future financial situation.
ContributorsHebert, Troy Thomas (Author) / Boguth, Oliver (Thesis director) / Budolfson, Arthur (Committee member) / Hoyt, Jeffrey (Committee member) / Barrett, The Honors College (Contributor) / Department of Finance (Contributor)
Created2013-05
ContributorsSchumann, Robert, 1810-1856 (Composer)
ContributorsSchumann, Robert, 1810-1856 (Composer)
ContributorsSchumann, Robert, 1810-1856 (Composer)
ContributorsSchumann, Robert, 1810-1856 (Composer)
ContributorsSchumann, Robert, 1810-1856 (Composer)
ContributorsSchumann, Robert, 1810-1856 (Composer)
ContributorsSchumann, Robert, 1810-1856 (Composer)