Výsledky vyhledávání - "Passive Management"

This paper proposes new holding horizon (HH) measures of active management, and examines the relation between horizon and manager skill. Our HH measures identify, in the cross-section, funds with better long-term alphas, while reported turnover ident

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https://doi.org/10.1017/s0022109023000303

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On index investing

Autor: Davidson Heath, Jeffrey L. Coles, Matthew C. Ringgenberg

Publikováno v: Journal of Financial Economics. 145:665-683

We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An increase in index investing leads to lower information production as measured by Google searches, EDGAR views, and analyst reports,

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https://doi.org/10.1016/j.jfineco.2022.05.007

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The Distortion in Prices Due to Passive Investing

Autor: Shmuel Baruch, Xiaodi Zhang

Publikováno v: Management Science. 68:6219-6234

In the capital asset pricing model (CAPM), it is ex post optimal to index. To examine the implications of market indexing, we develop a conditional CAPM with costless private information in which some investors are, for exogenous reasons, ex ante ind

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https://doi.org/10.1287/mnsc.2021.4114

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Value creation in shareholder activism

Autor: Vyacheslav Fos, Rui Albuquerque, Enrique Schroth

Publikováno v: Journal of Financial Economics. 145:153-178

We measure value creation by activist investors via structural estimation of a model of the choice between passive investment and activism. Our estimates imply that average returns following activist intent announcements consist of 74.8 % expected va

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https://doi.org/10.1016/j.jfineco.2021.09.007

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Comparative analysis of active and passive portfolio management: A theoretical approach

Autor: AZOUAGH, Inssaf, DAOUI, Driss

Publikováno v: International Journal of Accounting, Finance, Auditing, Management and Economics; Vol. 4 No. 3-1 (2023): Theoretical Reserach; 504-517
International Journal of Accounting, Finance, Auditing, Management and Economics; Vol. 4 No. 3-1 (2023): Recherches Théoriques; 504-517

The crises that the world has experienced in the last few years are deeply changing the structure of the world economy and therefore of finance. Human being is probably at the end of 40 years of big deflation and may be at the beginning of a great re

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