We analyze the implications of the widely used fixed fraction of funds fees on a mutual fund manager’s portfolio decisions. In our model, a log utility investor is allowed to dynamically allocate capital between an actively managed mutual fund and a locally riskless bond. The optimal fund portfolio is shown to be the one that maximizes the market value of the fees received, and is independent o...

This paper examines the ability of Australian active equity managers to provide superior risk adjusted performance. Utilising daily trade level data, we investigate the role of trade and manager characteristics in trading performance and market impact costs. In terms of trade characteristics, we find evidence of superior trade performance, where such performance is an increasing function of tra...

We consider a stochastic model for a defined-contribution pension fund in continuous time. In particular, we focus on the portfolio problem of a fund manager who wants to maximize the expected utility of his terminal wealth in a complete financial market. The fund manager must cope with a set of stochastic investment opportunities and with the uncertainty involved by the labor market. After int...

We present 3-D modelling of the distribution and kinematics of the neutral hydrogen in the spiral galaxy ESO 123-G23. The optical appearance of this galaxy is an almost perfectly edge-on disk, while the neutral hydrogen is found to extend vertically out to about 15 kpc on either side of the galactic plane. The HI layer and the major features of the HI data cube can be successfully explained by ...

It is commonly argued that banks play a special role in the financial system because they resolve an important information asymmetry. The recent development of an active secondary market for loans could however potentially diminish this special role. This study utilizes a unique dataset of secondary market loan prices to examine this issue. We find that new loan announcements are associated wit...

The economics literature highlights a substantial influence of larger cities in improving worker skills and productivity, in particular, due to better means of information dissemination and learning. Studies in a variety of disciplines also reveal a positive role of team management for firm performance that results from diversified knowledge and skill sets of the team members. This suggests a p...

Using a novel dataset on local government debt and house prices in California, this paper finds that the rise in house prices caused an expansion in local governments debt in the early 2000s. The elasticity between local government debt and house prices, estimated using cross-sectional variation in the share of developable land from Saiz (2010), suggest that a percentage point rise in house pri...

This paper analyzes a model of fund managers’ reputation concerns. It explains why “Nickel strategies” (strategies that earn small positive returns most of the time but occasionally lead to dramatic losses) are more popular among managers than the opposite “Black Swan strategies,” (strategies that generate small losses most of the time but occasionally lead to large profits). A novel insight fr...

In this paper, we examine the risk characteristics and capital adequacy of hedge funds using Value-at-Risk (VaR) as the criterion for measuring risk and estimating capital requirements. We find that a vast majority of hedge funds are adequately capitalized, with the level of under-capitalization being only 3.1% for live funds and 7.5% for dead funds. Using extreme value theory, we confirm that ...

The regulations governing asset distributions from many retirement plans give plan participants the option to time retirement or rollovers from the plan strategically. They possess a long-lived put option, whose exercise price resets periodically to the current value of the assets in the plan. We derive a recursive closed-form valuation formula for the option, and develop a numerical algorithm ...