Zobrazeno 1 - 10
of 18
pro vyhledávání: '"Natalia Kovrijnykh"'
Publikováno v:
Journal of Financial Economics. 142:756-774
We argue that the pervasive practice of evaluating portfolio managers relative to a benchmark has real effects. Benchmarking generates additional, inelastic demand for assets inside the benchmark. This leads to a “benchmark inclusion subsidy:” a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1009b42587fab9ba887e03566a52dad2
https://doi.org/10.1016/j.jfineco.2021.04.021
https://doi.org/10.1016/j.jfineco.2021.04.021
We propose a model of asset management in which benchmarking arises endogenously, and analyze its unintended welfare consequences. Fund managers’ portfolios are unobservable and they incur private costs in running them. Conditioning managers’ com
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::896df1792ae09f44f6539e3e3b5af311
https://doi.org/10.3386/w28020
https://doi.org/10.3386/w28020
Publikováno v:
SSRN Electronic Journal.
We propose a tractable model of asset management in which benchmarking arises endogenously, and analyze its welfare consequences. Fund managers' portfolios are not contractible and they incur private costs in running them. Incentive contracts for fun
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0faf43d66a300473c74f8d87f2692660
https://doi.org/10.2139/ssrn.3723257
https://doi.org/10.2139/ssrn.3723257
Autor:
Natalia Kovrijnykh, Igor Livshits
Publikováno v:
International Economic Review. 58:499-527
We propose a parsimonious model with adverse selection where delinquency, renegotiation, and bankruptcy all occur in equilibrium as a result of a simple screening mechanism. A borrower has private information about her cost of bankruptcy, and a lende
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::09219a196da38fa0618240cf8fdd3052
https://doi.org/10.1111/iere.12225
https://doi.org/10.1111/iere.12225
Publikováno v:
Working paper (Federal Reserve Bank of Philadelphia).
This paper examines a novel mechanism of credit-history building as a way of aggregating information across multiple lenders. We build a dynamic model with multiple competing lenders, who have heterogeneous private information about a consumer's cred
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f32c5d1269c7143f203486b7d9c3399f
https://doi.org/10.21799/frbp.wp.2019.17
https://doi.org/10.21799/frbp.wp.2019.17
Autor:
Natalia Kovrijnykh, Hector Chade
Publikováno v:
Journal of Economic Theory. 162:55-92
We analyze a principal–agent problem with moral hazard where a principal searches for an opportunity of uncertain return, and hires an agent to evaluate available options. The agent's effort affects the informativeness of a signal about an option's
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::74502c7714762ec9b2d4a70c7a2059e8
https://doi.org/10.1016/j.jet.2015.12.003
https://doi.org/10.1016/j.jet.2015.12.003
Publikováno v:
SSRN Electronic Journal.
We argue that the pervasive practice of evaluating portfolio managers relative to a benchmark has real effects. Benchmarking generates additional, inelastic demand for assets inside the benchmark. This leads to a “benchmark inclusion subsidy:” a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::76b92cdf9dc22d78da0c92f1054f68f3
https://doi.org/10.2139/ssrn.3293517
https://doi.org/10.2139/ssrn.3293517
Autor:
Natalia Kovrijnykh
Publikováno v:
American Economic Review. 103:2848-2874
This paper analyzes a dynamic lending relationship where the borrower cannot be forced to make repayments, and the lender offers long-term contracts that are imperfectly enforced and repeatedly renegotiated. No commitment and full commitment by the l
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8ac951217bcb90d78e654cb5d1ac3e0f
https://doi.org/10.1257/aer.103.7.2848
https://doi.org/10.1257/aer.103.7.2848
Autor:
Natalia Kovrijnykh, Balázs Szentes
Publikováno v:
Journal of Political Economy, 115 (3) pp. 403-446. (2007)
This paper analyzes Markov equilibria in a model of strategic lending in which (i) agents cannot commit to long‐term contracts, (ii) contracts are incomplete, and (iii) incumbent lenders can coordinate their actions. Default cycles occur endogenous
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a060e632c1eb85413b53ed789e9d3940
https://doi.org/10.1086/519749
https://doi.org/10.1086/519749