Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Heber Farnsworth"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d3d850a4e27f0c329ff6a23778b46fcd
https://doi.org/10.2139/ssrn.3885218
https://doi.org/10.2139/ssrn.3885218
Autor:
Heber Farnsworth
Publikováno v:
SSRN Electronic Journal.
In an equilibrium framework the dynamics of the aggregate dividend are taken as given and the volatility of the wealth portfolio is determined by the prices of risk in the model. Since option prices depend strongly on volatility they are very informa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d1410f1cdd0638a65cbe77b465911f4b
https://doi.org/10.2139/ssrn.3159610
https://doi.org/10.2139/ssrn.3159610
Autor:
Heber Farnsworth
Publikováno v:
Journal of Empirical Finance. 16:852-861
This paper examines the feasibility of applying the stochastic discount factor methodology to fixed-income data using modern term structure models. Using this approach the researcher can examine returns on bond portfolios whose exact composition is u
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f5897ea0090f98f214ccd989e04ca51f
https://doi.org/10.1016/j.jempfin.2009.06.004
https://doi.org/10.1016/j.jempfin.2009.06.004
Publikováno v:
Review of Financial Studies. 23:1-23
The evaluation and compensation of portfolio managers is an important problem for practitioners. Optimal compensation will induce managers to expend effort to generate information and to use it appropriately in an informed portfolio choice. Our gener
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::818e608a1e8d241bb838380a8645a87f
https://doi.org/10.1093/rfs/hhp056
https://doi.org/10.1093/rfs/hhp056
Autor:
Heber Farnsworth
Publikováno v:
Wiley Encyclopedia of Management
Conditional performance evaluation refers to the measurement of performance of a managed portfolio taking into account the information that was available to investors at the time the returns were generated. Keywords: Conditional Performance Evaluatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fbd6029db39002a8cddadf36c27fece3
https://doi.org/10.1002/9781118785317.weom040021
https://doi.org/10.1002/9781118785317.weom040021
Autor:
Heber Farnsworth, Jonathan Taylor
Publikováno v:
Journal of Financial Research. 29:305-324
We surveyed 396 portfolio managers about the structure of their compensation. Overall, more compensation packages are subjective/discretionary than objective/formula based. Firm success factors such as firm profitability have more effect on bonuses t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::db161e121123282199cfb60ec043a4d5
https://doi.org/10.1111/j.1475-6803.2006.00180.x
https://doi.org/10.1111/j.1475-6803.2006.00180.x
Autor:
Richard F. Bass, Heber Farnsworth
Publikováno v:
The Journal of Finance. 58:839-865
The Federal Reserve sets targets for interest rates which it enforces through direct market intervention. These targets are changed periodically. In this paper, we develop a term structure model in which the short rate is subject to a control which k
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::566def7ba5119c9efac0e853e33874ce
https://doi.org/10.1111/1540-6261.00548
https://doi.org/10.1111/1540-6261.00548
Publikováno v:
The Journal of Business. 75:473-583
We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We fin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3afe340c23936c70eff3c8f308ef6ab4
https://doi.org/10.1086/339902
https://doi.org/10.1086/339902
Autor:
Heber Farnsworth
Publikováno v:
SSRN Electronic Journal.
A common misconception in nance is that investors who believe in an efcient market will not invest with an active fund manager. In this paper I develop a model of active money management in which both the investor and the fund manager believe that th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c332849f5961900e551ca86381770c92
https://doi.org/10.2139/ssrn.2240573
https://doi.org/10.2139/ssrn.2240573
Autor:
Heber Farnsworth
Publikováno v:
SSRN Electronic Journal.
Empirical research in finance has documented a strong positive and convex relationship between investment performance and flows in and out of managed portfolios such as mutual funds. It is also well-known that fee contracts for portfolio managers giv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::373a26deba93e6ea3337326837cf1e0f
https://doi.org/10.2139/ssrn.1841566
https://doi.org/10.2139/ssrn.1841566