Results 21 to 30 of about 74,430 (47)

Machine-Learning the Skill of Mutual Fund Managers

Social Science Research Network, 2022
We show, using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds, as well as identify funds with net-of-fees abnormal returns. Fund momentum and fund flow are the most important predictors of
Ron Kaniel, Zihan Lin, Markus Pelger, Stijn Van Nieuwerburgh   +3 more
semanticscholar   +1 more source

Better to Give than to Receive: A Study of BRICS Countries Stock Markets

Journal of Emerging Market Finance, 2023
This study uses the MGARCH-BEKK model and Diebold–Yilmaz (DY) volatility spillover index to examine volatility spillovers among BRICS countries’ stock markets.
Pradiptarathi Panda, W. Ahmad, M. Thiripalraju   +2 more
semanticscholar   +1 more source

Green Tilts

Social Science Research Network, 2023
We estimate financial institutions’ portfolio tilts that relate to stocks’ environmental, social, and governance (ESG) characteristics. We find ESG-related tilts totaling 6% of the investment industry’s assets under management in 2021.
Ľuboš Pástor, R. Stambaugh, Lucian A. Taylor   +2 more
semanticscholar   +1 more source

Investor Overconfidence and Trading Volume

, 2003
The proposition that investors are overconfident about their valuation and trading skills can explain high observed trading volume. With biased self-attribution, the level of investor overconfidence and thus trading volume varies with past returns.
M. Statman, Steven Thorley, Keith P. Vorkink   +2 more
semanticscholar   +1 more source

Homemade Foreign Trading

Social Science Research Network, 2023
Using cross-border holding data from all custodians in China’s Stock Connect, we provide evidence that Chinese mainland insiders tend to evade the see-through surveillance by round-tripping via the Stock Connect program.
Zhiguo He, Yuehan Wang, Xiaoquan Zhu
semanticscholar   +1 more source

Understanding the Ownership Structure of Corporate Bonds

Social Science Research Network, 2022
Insurers are the largest institutional investors of corporate bonds. However, a standard theory of insurance markets, in which insurers maximize firm value subject to regulatory or risk constraints, predicts no allocation to corporate bonds.
R. Koijen, Motohiro Yogo
semanticscholar   +1 more source

COVID-19 and Corporate Finance

Social Science Research Network, 2022
We distill evidence about the effects of COVID-19 on companies. Stock price reactions to the shock differed greatly across firms, depending on their resilience to social distancing, financial flexibility, and corporate culture. The same characteristics
M. Pagano, J. Zechner
semanticscholar   +1 more source

Machine Learning for Continuous-Time Finance

Social Science Research Network
We develop an algorithm for solving a large class of nonlinear high-dimensional continuous-time models in finance. We approximate value and policy functions using deep learning and show that a combination of automatic differentiation and Ito’s lemma ...
Victor F. Duarte, Diogo Duarte, Dejanir Silva   +2 more
semanticscholar   +1 more source

Mutual Funds’ Strategic Voting on Environmental and Social Issues

Review of Finance
Environmental and social (ES) funds in non-ES families must balance incorporating the stakeholders’ interests they advertise and maximizing shareholder value favored by their families. We find that these funds support ES proposals that are far from the
Roni Michaely, Guillem Ordóñez-Calafi, Silvina Rubio   +2 more
semanticscholar   +1 more source

The Effect of Investment Inefficiency on Expected Returns

Journal of Emerging Market Finance, 2023
The majority of Indian firms have a promoter and family-owner-dominated ownership structure; therefore, the agency problem prevailing in such a setting would be the conflict of interest between the majority and minority shareholders. This motivated us to
Jains P. Chacko, Lakshmi Padmakumari
semanticscholar   +1 more source